Is my Yahoo email compromised?

Factual Questions
1

I’ve been recently playing an online game, and received today a message from the game admins (or appearing to be from them, I’m checking this out) stating that my game account might have been hacked.

Now, I’ve had several problems with my email (that I used to register on this game) during the recent days (and since I joined this game). This is a Yahoo email.

First, I was twice unable to access my Yahoo email and had to request a password change (each time picking a more complicated password). It’s possible that I had messed up the first time. I’m a bit more surprised that I got it wrong the second time, but it’s still conceivable.

More importantly, while I was logged on my Yahoo email, I twice got a popup message stating that the connection with Yahoo was shut down because I accessed the account from another computer (and the Yahoo session was indeed interrupted). Last time was one hour ago, after my third password change. Of course, I wasn’t accessing my email from another computer at this moment.
So, should I worry? What should I check, what should I do, should I write something to Yahoo?

Finally, since the second “you accessed your email from another computer” message came after I changed the password for a rather complicated one, I’m wondering if I should be afraid that my computer could have been infected by a keylogger (is that the correct name for those malwares that register what you type?), which would mean that more worrying that a game account, things like my credit card number could be at risk. I’m going to run AVG, Malwarebytes and Superantispywares, but besides that?
I think that I might be worrying for nothing regarding the “game account might have been hacked, sent your account infos” message, it could be related to me having registered under an assumed name and recently asked for the name to be changed to my real name because I made a payment or by a couple other things (I logged under two other accounts in the game, one collective and another belonging to a temporarily absent player), but I’m still left with the pop up message on Yahoo. Could this be glitch on Yahoo’s part? I don’t remember having ever got such a message in the past.

So, am I over blowing things or should I really worry and, again, what should I do?

2

Update :

The message stating that my game account had been hacked was ingame phishing.
However, I’m still worried by the interrupted connexions on Yahoo, with the pop up message stating that another computer is accessing the email.

3

I’d suggest that your machine may have been compromised.

4

I’d be worried. Very worried. Having to change your password so many times is very fishy/phishy unless you’re supremely forgetful. A keylogger sounds like a very real possibility… I’d restart in safe mode, run those programs (and maybe the other programs listed in the “read this first” computer sticky in GQ) and see if you find anything…

In the meantime, I’d also keep a very close eye on your bank accounts and maybe also sign up for a credit monitoring service. The $10 or so you might have to pay every month is nothing compared to the hassles of dealing with prolonged identity theft.

ETA: Also, in the meantime, if you have to enter any passwords, consider doing so using the Character Map (in Start Menu -> Accessories). Click, not type, each letter with your mouse and enter your passwords that way. There ARE mouse/screen loggers out there, but AFAIK they’re much rarer than keyloggers.