You should be scanning your computer REGULARLY with BOTH an "Anti-Virus" scanner AND an "Anti-Spyware" scanner.
They do different things and look for different problems, so you need them BOTH.
Keyloggers are in the general category of "Spyware", so a program like "MalwareBytes" or "Spybot Search and Destroy" should be run on a regular basis to detect and remove "malware" like that.
If all you have is an anti-virus scanner (or if you don't have any protection at all), you NEED to install and RUN one (or both, as I do).
AND- keep them UPDATED so they can find all the NEW garbage (like keyloggers) that shows up daily on the Internet.
It's NOT Nexon's responsibility to protect your computer- it's yours.