Uninstall and reinstall.
Back in the day, Keylight might have been one of those plugins that got installed separately, but I think they all installed automatically by the time CS5 came around.
Now, are you sure it's CS5 and not After Effects version 5? those are two very different things.
Szalam is correct. Keylight is part of every default install ever since CS4. it may just be in a different category if you use a different language than English.