I'm assuming the free browser-based Google Rankings tool is not sufficient for your needs ?
It only gives you meaningful data if your domain falls within the first 200 returns, but it does hit four of the most important engines you should be concerned about (Google, MSN, Yahoo and Ask).
Keywords are a very small part of a very large puzzle. I still maintain that for most smaller sites/businesses the best way forward is to include your web address on every email, invoice, quote, business card etc
A lot of nonsense is often written about SEO and large figures are regularly charged by SEO specialists for work that you can often manage on your own at little or no cost if you invest the time and effort.
The bottom line is that in a competitive sector the only real way of winning a top spot in the search engines is to buy it. In a niche market things are much more civilised and you can rely on more prosaic methods to win the day...
There are a few Windows applications that claim to do more or less what you are asking for, but the web is so transient by nature that as soon as you get the information you request it is more or less out of date.