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So the messages are being sent from your account but you don't recall ever sending them? Are the messages being sent at times you're supposed to be offline? Scan your computer for malware and, once clean, deauthorize all other computers via Steam settings and change your password again. If the malware scan turns something up you may also want to change your email password.
Have you ever downloaded something that a Steam friend linked you to via chat?
Also check your installed programs for anything that looks fishy, sometimes it's as simple uninstalling it, but you will more than likely need to scan.
Steam->Settings->Account->Manage Steam Guard Account Security
I can't guarantee it will work though. If it is in fact a keylogger then it is not out of the question that they can access your e-mail too. It is still definitely worth trying, though. Pay close attention to your e-mail after to watch for any unknown Steam Guard requests.
Also, have you made sure to avoid signing into that infected computer? Resetting the password won't do a whole lot if it can grab that info through some means. Reset the password on another computer and avoid using the infected computer altogether until you've found the cause.
As Utage also said it could also be basic software installed on your computer that can be easily removed. Some install wizards like to occasionally slip in an offer to install other bloatware (though never malware from my experiences). Go through your programs in the Control Panel and look for any suspicious entries. Look the stuff up online if need be.
It could also have possibly wedged itself in your system startup processes and services. Go to Start and search for "msconfig". Browse through the Services tab and Startup tab and see if you can spot anything out of the ordinary there. If you don't know what your unticking, don't untick it. If you are unsure of what an entry is, find a description online before touching it.
If after this, you're still having this problem, then you might need to have your computer serviced to remove that malware.
Secure your account.
All steps...
Scan for malware. https://www.malwarebytes.com/
Deauthorize all devices https://store.steampowered.com/twofactor/manage
Change your password on a secure device.
Generate new back up codes. https://store.steampowered.com/twofactor/manage
Revoke the api key (should be empty) https://steamcommunity.com/dev/apikey
And stop pirating games.
When that happened, the scammer immediately logged in to your account, and can now do anything you can do, like sending messages to your friends etc.
Do the steps cSg|mc-Hotsauce posted here above. That will kick the scammer out of your account.
Then check that the email address registered on the account is your email. Account hijackers usually change the hijacked account email address.
In the future, _never_ use your steam account to login to any other site than the actual steam website, You can never be sure if they are going to steal your account.
The same goes for pirating games and other software. The risk of them containing malware designed to steal steam accounts is very high.