If you give permission, even inadvertently, to a programme it will install. No matter how much 'protection' (firewalls, AV and Spyware progs) you have, they will not stop it. You have more chance of hitting the Eurolotto than having a keylogger on a home computer and it 'sending' back any info. AOL sometimes picks up ordinary spyware and reports it as a keylogger and it was probably this in your case. Run any one or two of your spyware programmes and scan your PC but I would bet that it is no more.
This is a good example of how important it is to be aware of 'threats' on the net as no amount of protection will stop them. Protection only stops the obvious threats.