Well for £43.83 all this is possible by using the Spy Cobra USB drive. Once plugged into your Windows PC, it installs a hidden monitoring application in less than 20 seconds, after which the drive can be removed. From that point on every single key stroke is recorded, it records all websites visited and even takes screenshots of what is displayed on the screen, and stores these screenshots at regular intervals. The device even encrypts the information it stores locally on the drive, so you can’t tell what is being stolen.
In the past I created such devices, however I found most Anti-Virus protection eventually caught up and stopped it from working, this is good reason to keep your anti-virus up-to-date, while disabling media auto-run within Windows can also help defend from similar spy USB devices from automatically installing. However looking at the way the Spy Cobra installs its spyware payload, I think it is likely it will not be detected by most Anti-Virus at present, this is something I will be researching further and reporting back on.
Only twos days ago at libraries just around the corner from the Information Commissioner's Office in Wilmslow, hardware keyloggers were found attached to publicly used computers, no doubt the bad guys were trying to steal credit card and bank account credentials. http://www.theregister.co.uk/2011/02/15/hardware_keyloggers_manchester_libraries/