I was wondering if anyone can recommend any anti-keylogger software.

Preferably free.

Thanks in advance!

Came across this site: http://seussbeta.tripod.com/data.html might be of some use.

Win XP or win7?  ad-aware is great for detecting ad-ware/spyware related threats but may not detect more advanced programs.  I've never actually used avast.  I currently use NOD32 and that runs pretty well, they have 2 flavors, Internet Suite and their AV only.    Windows 7's firewall is decent enough.  It has much more advanced features than the standard XP firewall.  With keyloggers you really want to watch the traffic going out, its one thing if they are just logging but if you see traffic leaving your system when you have nothing running, well then you got a problem.

Standard XP firewall doesn't offer much other than inbound traffic exceptions.  Get a hold of RawDump or Wireshark and get a scan of your traffic when nothing is running.  Wireshark will give you a nice live feed of the data as it is happening.

Also for future preventive measures you can work with this Powershell script that will copy a new hosts file to your system with a blacklist of bad domains. 

http://www.sans.org/windows-security/2010/09/14/hosts-file-block-domains

Oh back to AV, Microsoft's free AV - MS Security Essentials - is pretty decent, I've had it catch bad stuff where others have not.  And its free for non-commercial use.

Good luck!