Steganography... how do i implement this?

I've look around the site and have found alot of bit an pecies of what I'm looking for. I've been hacked by someone on an online game I play alot. They had a very advanced keylogger on my computer. I reformatted my hard drive, and I am back for payback.

So I'm trying to understand this concept, of hiding keyloggers in HTML images, or JPEGS. Can somone please explain to me how this works, how to make and configure one, and where to get the materials for one from.

I just need a good detailed explanation. Thank you kind fellows =P