"Someone is trying to log onto your account from another computer"

[xSCWx]

I just got a message along those lines on FTP. It gave me an option to either sign off or deny the other person, so I obviously denied and changed my password.

My password is saved on this computer (I never type it in manually), so it couldn't have been keylogged. The only other computer I have logged into FTP on was my roommates, but I used the keyboard map to type it in from there so I couldn't have been keylogged there either.

Is there anything else I should do? Is this common and I'm overreacting?