You've no GUI component visible for the KeyListener to listen to. KeyListeners require that they be added to a component within a rendered GUI and the component being listened to has focus. Your app has none of that. I don't even see a KeyListener object anywhere within your code.
If you want to create a GUI that listens for key events, consider learning how to create a Java Swing GUI at the Swing tutorials, and then consider using Key Bindings in place of a low-level listener such as a KeyListener.
If on the other hand you wish to create a general key logger program without a GUI, then I suggest you not use Java but instead some other language that allows tighter integration with the operating system.