A keylogger is a spyware program installed on your computer.
It logs all of the keypresses on the keyboard, and sends them elsewhere via the Internet. This type of program is used to reveal usernames and passwords.
Keyloggers are generally hidden in other programs or in files.
Be particularly careful if you use a computer that is accessible to other users(public computer stations, in a business, school, or library, for example) and whenever someone you don't know sends you a program or file.