A keylogger is a trojan that send back to it's master every keystroke you make. This is how people steal passwords etc and kack into banking details.
As Gandalf said, turn off system restore and run an av scan etc. Once you have cleared it turn System restore back on. Do not rely on windows firewall to prevent it communicating with it's master, windows firewall will not do that. Instead use a 3rd party firewall such as Zonealarm click here
I have discovered that this pest can be ousted by CounterSpy and I have also followed Gandalf's advice. I am now waiting to see if it reappears; I suspect that this thing is arriving via a visited web site and I'm puzzled that it's getting by Norton security;I also ask myself could it be being generated by CounterSpy itself (free version) as a sales pitch. Many thanks to Gandalf and Jak-1, any ideas or thoughts welcome.