I can not stop the mackeeper's installing
I would recommend just letting it finish then removing it. MacWorld has a pretty good guide, but I'll skip some of it in favor of just downloading MalwareBytes Anti-Malware and letting it do it's job in case some other stuff got installed as well. Let it run, and once it's done, if there are any remaining traces, quit any relevant process and move them to the trash and empty said trash.

If you absolutely need to close it though, you can force quit the installer or kill the process. You can force quit by right clicking the icon in the dock with alt held down, then clicking force quit, or through a menu accessible via  -> Force Quit (accessible with the shortcut Command + alt + esc.) You could also use the command-line command kill or killall to kill the installer process. I'd avoid this, as it may have unintended consequences.