Ugh, keyloggers... I hate keyloggers...

Any good keylogger will not show up in the Task Manager nor the process list ( or it might show up as something that is supposed to be there, like iexplore.exe ). Also, anti-keylogger programs generally don't work, at best they detect the keylogger made by the same developer.

Does this person have access to your PC, to retrieve any info? If not, run nestat and look for connections on port 21, as there has to be some way he gets the info ( if there is a keylogger ). Open Command Prompt, and run :

netstat -ano|findstr :21

This is assuming that a ) You are not running an FTP server and b ) your "friend" is not very good at keyloggers, and has one that transmits over ftp. Alternatively you can just run netstat -ano and look for connections on port 21. But I don't think he is very good at it anyway, since he is boasting about how good he is. People who are actually good at it don't usually do that... So you might just find a keylogger right in the Process List as Tessou suggested.

You can also try using something a bit more powerful than the process explorer Windows comes with, like this one, will make this a bit easier :

http://technet.microsoft.com/en-us/sysinternals/bb896653