HTTP/1.0

Under HTTP 1.0, there is no official specification for how keepalive operates. It was, in essence, tacked on to an existing protocol. If the browser supports keep-alive, it adds an additional header to the request:

Connection: Keep-Alive

Then, when the server receives this request and generates a response, it also adds a header to the response:

Connection: Keep-Alive

Following this, the connection is NOT dropped, but is instead kept open. When the client sends another request, it uses the same connection. This will continue until either the client or the server decides that the conversation is over, and one of them drops the connection.
HTTP/1.1

Under HTTP 1.1, the official keepalive method is different. All connections are kept alive, unless stated otherwise with the following header:

Connection: close

The Connection: Keep-Alive header no longer has any meaning because of this.

Additionally, an optional Keep-Alive: header is described, but is so underspecified as to be meaningless. Avoid it.