Well, you probably know that keywords are the words that you might use to describe your page - more particularly they are the words that a searcher might enter into Google to find your page.
To take an example, for a page about the US Civil War, the keywords might be:
- civil
- war
- Union
- Confederate
- Lincoln
- Davis
- etc
So what you try to do is ensure that when Google or some other search engine indexes your page or site that those words are picked up and entered into the index. In the early days, you could put a special tag - the META tag - with keywords in the HEAD part of your page and the search engines would pick that up. Unfortunately, the tags were spammed a lot and search engines began to pay less attention to these tags. It's generally believed that Google doesn't index the Keywords Meta tags at all, but Yahoo! and some others do.
With GPC it's moot, because you can't put Meta keywords tags in the HEAD section of a GPC page (although some people claim you can, it doesn't work).
So what are you to do? Simple: put keywords in the text at the beginning of your page and in your page title. That way they'll get picked up by Google and the other search engines.
Google appears to pay the most attention to your page title, then your heading 1, then heading 2, then heading 3, and then normal text. The alt (alternative text) of images has about the same keyword value as normal text.