One of the difficulties that the keygen programs have is that some verification programs refuse to accept a "key" that's been returned by another user. Variants of the program apparently are distributed as "bots" to search randomly on other people's machines to compile lists of keys in use. Lists compiled by these "bot runners" are exchanged on a number of websites.
If someone is getting into your machine to place one of these there - for any purpose - it probably means that you have a "hole" in your firewall that allows outside access to your computer.
Most Antivirus program sellers have web sites where you can have your machine scanned by the site to detect malware. Some of them have "security checks" that can look to see if your firewall is allowing open ports and whether your computer is visible to anyone scanning from the outside.
If you don't have a place you prefer, you can run Symantec Security Check - free - and get a report on any open holes that someone may be using to get to your machine. (The link is to the instructions for running the check. A link there takes you to the site to actually run the check.)
You'll likely get some "advertising pitches" but they haven't been aggressive when I've used this site. Once you know how vulnerable you are, you can choose your own protections a little more knowledgeably.