I don't think Pug's looking for one to use, I think he's worried about someone getting his info. A keylogger would only be one part of the malicious software, it would also need to transmit the data (hence the spyware).
That last part is why I like firewalls that block all traffic by default. Even if malware filters into your system, it can't dial out. That's unless it piggybacks on something you have to allow net access to, like the browser. So if the keylogger is a hack or addon to the browser itself, you're screwed regardless.
What I would do if I suspected an infected browser is uninstall it (and if it won't let me, well, there's the definite answer), nuke all registry entries related to it, delete its directories, re-download directly from the official site and reinstall. Then reinstall trusted addons.
I should add that a good firewall should also detect when an application (including the browser) is replaced by another file. Mine warned me often when I had AVG running, because part of its daily update could include replacing the programs themselves.