Chances are you connect to the Internet via an "always-on", cable or DSL, either way, they utilize a "modem" (better named a bridge) to get you out to the Internet. If you have more than one computer on your local network, you have a router. Your Router often has wireless and wired access to provide access to the end-point clients (your PCs). Most every router has a very basic built-in firewall, able to block inbound (Internet->LAN) connections, and some outbound.
Your wireless network should not be setup to Broadcast your SSID, and it should use advanced encryption, such as WEP or WEP2. WAP was busted a long time ago. Even better, if you know what machines will be connecting... your router can be configured to only allow connections from a list of specified MAC addresses (unique to each network device, such as your laptop).
Along with firewall capabilities, most router offer some sort of connection logging. This is accessible by either the routers built-in functionality, or via a SNMP (simple network management protocol) service. Key-loggers usually will attempt connections back to a destination on the Internet to upload logged application/entered-data of interest. One way to determine if you have some sort of spyware or logger on one of your PCs is to view your logs, usually in the morning after your PCs have been on for several hours and not in use. If you see strange connections, then I would dig deeper into what they are.
If all you have is an IP address from the logs, you can determine the owner of the address by doing a WhoIs search here:
http://tools.whois.net/whoisbyip /
Hope this helps a bit...