It's the second time I change my gmail password and I keep receiving this warning ( see image). What can I do ?
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Running antivirus to remove known keyloggers is the first step. You can read more about them here: http://www.securelist.com/en/analysis/204791931/Keyloggers_How_they_work_and_how_to_detect_them_Part_1
If you do not have an antivirus software, try Avast: http://www.avast.com/en-us/index
Beyond that, since you have been compromised, you will want to ensure that you do not use the same password for all your online accounts.
If you're worried about you password being guessed, try to make it a longer password (password crackers run faster against short passwords), and don't use things that are available to people online: your birthday, pet's name, children's name, etc.