Keylogger and JPF 2

How do keyloggers work? I know what they do, but not how they do it. Do they function by any of the below methods?

write to application's memory
create remote thread
create hidden window
install global hook
modify child process
direct memory access
critical registry modification
send message to another application
control process
control system services

I ask because I recently decided to switch from LnS to Jetico and I wanted to know if I am protected. JPF can protect from the above, but when I tried this test I wasn't alerted at all.

 

See this wikipedia article. You can also use AKLT to test your security programs.