Attached Link: kldetector

Not an endorsement, simply one I found a few weeks ago. I do second the endorsement of Comodo. In addition to traditional firewall functions, it provides good functionality for protecting the registry, catching stealth installs etc. They also have an anti-virus you can install but I prefer Avast.

If I were more concerned, I'd probably install a virtual machine (with VirtualPC ,  VMWare etc) or a dual boot and a clean OS install and then use only that to connect to sites where I was going to submit sensitive information - and use it for nothing else.

I don't know how reliable anti-keyloggers are. At the least, I'd want one that ran constantly rather than relying on periodic scans. I read of one case where the FBI installed a logger on a suspect's machine that only captured keystrokes when he went to certain sites. to satisfy the limits of their search authorization. Anything the government has, some clever hacker has probably figured out as well :-)

"Democracy is a pathetic belief in the collective wisdom of individual ignorance." - H. L. Mencken