KeyGen is basically the short form of Key Generator. For example, usually you buy games that are pirated. But the key codes that they give are shared among the buyers. Thus making it pirated. Which means the key codes are spoilt. So some geeks would just create a software to break those codes. Breaking this codes allow them to become a genuine software, even if the CD is a pirated one.

Getting genuine softwares allows games to be updated, patched. With new updates. And even logging in the internet to play games from other worlds; or also called mutliplayers.