Dude make sure that keylogger which u downloaded doesnt send all the info to its author better go for the option given by Raven, search for the kelogger tut in the forum and make one cuz never trust others in things of this nature.
Edit
Check these out
*www.thinkdigit.com/forum/viewtopic.php?t=11232&highlight=keylogger
*www.thinkdigit.com/forum/viewtopic.php?t=7079&highlight=keylogger
*www.thinkdigit.com/forum/viewtopic.php?t=5084&highlight=keylogger
Anti key logger tutorial by Jeba
*www.thinkdigit.com/forum/viewtopic.php?t=7079