A keylogger is a program that will record every keystroke on your computer. While these can be used for good, a scammer could use one to invade your privacy or steal your identity.
KL-Detector is a small program that tells you whether you're infected with one. It scans your computer for new logs being created. It will pinpoint all programs that are creating those logs, so you can hunt down the keylogger on your machine.
Of course, many of your programs create logs, so you'll have to do some investigating. Look for programs you don't recognize and research them using Google.
If you find a keylogger, you can start the process of removing it. This will require another program like SpyReveal ($50).
Note: Because of the way this program works, your anti-virus software may flag KL-Detector as malware. It also may tell you not to trust the KL Detector site. Trust me, this program and its site are safe.