with Kennen its good to keep moving and pushing your enemy back. in the beginning you want to start with doran's shield and be sure to push your enemy back with thundering shuriken and make sure you last hit the minions. then when you have enough money you can get the boots or mejai's soulstealer. this will allow you to keep pushing your enemy and making it so they cant get levels as fast as you and it will also keep them from getting money from the minions. at this point in the game you should have a few kills and should be getting rod of ages or rylai's crystal scepter. these items will help you stay alive through the ganks that everyone targets you for being powerfull and because of your stuns. after you get zhonya's hourglass you can be almost "tank like" with about 150-200 extra spell damage. the reason you get hextech gunblade is to add to the vamp and damage for normal attacks and spell attacks and you should get it some time before or after your first rod of ages or rylai's crystal scepter.. after you have these items you will be alot more helpfull through out the game and can add in alot of damage instead of sacrificing damage for defense and health.

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i hope that this guide has helped you become a better kennen to support your team and take out or enemy.
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Good luck and Have fun.