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
From the Insert Shape menu choose the "Draw with Pen" tool:
Click once at one end of your curved arrow:
Click and drag at the other end of your arrow:
Hit the Escape key to stop drawing.
From the line ends menu, choose an arrowhead you like:
Edit the Arrow
To reshape the curve, click on it once, then click on it again;
When the endpoints turn red you can change things:
Click and drag the round circles at the end of the gray Bezier
handles to reshape the curve (a little practice makes perfect):
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.