Question: ![a video capture](https://i.stack.imgur.com/HuXxm.png)

Just as the capture shows, when you type something using the keyboard, a big label appears at the bottom of the screen showing the keys you typed.

I use Windows & Linux, so I just want to know if there is a similar software to do that?

Answer: 
For Linux check Screenkey: <https://launchpad.net/screenkey>
There is [Key Jedi](http://osherove.com/blog/2007/6/3/train-to-be-a-keyboard-master-with-keyboard-jedi.html)

> 
> Key Jedi allows learning and training to use keyboard shortcuts. **It can be used in presentations, screencasts and videos**, as well as when working with someone else on the same machine to teach new shortcuts. It shows a visual list of shortcuts as you type them, no matter what application you work in. It is free, simple and quick to use.
> 
> 
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Emphasis mine