The exact mechanisms they use to accomplish this aren't revealed, but essentially the user is presented with an on-screen keyboard (such as most modern desktop operating systems come with) that accepts mouse input and prevents would-be thieves from listening in on hardware keystrokes sent to the machine.
This has been done in the past, though Kaspersky is making it a stock option with their newer software. In an Internet that is plagued by identify theft it's certainly a novel idea, if not a new one. As security software evolves, so does malicious software right along with it. For some reason I envision the keylogger of the future which will capture the location of the mouse at various click points and try to match it to a virtual keyboard.