DLLs do not appear in Task Manager. You could write a DLL and attach it to something you expect to be there (such as Explorer.exe) Or better, rewrite (or append to) an existing DLL such that the keylogger stuff is triggered by additional code added to an otherwise benign DLL entry point, one that is likely to be run as a "normal" part of the "infected" program.

Isn't Micros~1 stuff fun?