There's 2 kinds of keyloggers.
The physical kind, and the software kind.
First, we'll look for the physical kind.
Go to the back of your computer. If you notice anything strange sticking out of a USB slot, or an extender from your keyboard to the plug, unplug that, and just plug the keyboard strait in.
Let's look for the software kind now, shall we?
Press Ctrl + Alt Delete
If you're running Vista/Windows 7, then click task manager.
Now, look for anything strange, like keylog.exe, something along those lines.
Delete everything but explorer.exe, and anything else you need.
Hope this helps. :D