How can a connection be secure, if somebody observes it from the beginning?

If somebody observes a connention between client, and the server, then he can see the keys, by the following data encrypted is.

As far as I know, if I connect to a server, then it sends me some keys, and later the communication will be encoded by this key. But I dont understand, how is it possible, to make it secure from the beginning? When the client and the server initialize the connection, and choose an encryption method, then the observer can get the security keys.