I don't find how to draw a curved arrow in a Keynote'09 presentation... I'm sure is really before my eyes but .....
Create the Arrow
Edit the Arrow
To reshape the curve, click on it once, then click on it again;
Click and drag the round circles at the end of the gray Bezier
Click and drag one of the red endpoints to change the start or end:
Maybe you should look at this Thread. They speak about Keynote 4, but I think you can do that in Keynote '09 as well.