Malware is an abbreviated term used to describe a "malicious software" program. Malware includes things like spyware or adware programs, such as tracking cookies, which are used to monitor your surfing habits. It also includes more sinister items, such as keyloggers, Trojan horses, worms, and viruses.
A keylogger is just what it sounds like. It is a program that logs every keystroke you make and then sends that information, including things like passwords, bank account numbers, and credit card numbers, to whomever is spying on you. A Trojan horse may damage your system, and it may also install a "backdoor" through which to send your personal information to another computer. These forms of malware are commonly used for perpetrating identity theft.
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