In most cases, people are infected by Trojans as a result of opening an email attachment, transferring files over the ICQ and similar services or by opening binary messages on Newsgroups. They can also be transferred using ActiveX or Java programming, but this is not a common method. By having a current anti-virus program that detects Trojans and a good firewall such as Zone Alarm that prevents outgoing calls, you can be relatively safe both from being infected and from being accessed by the intruder if you are already infected.
However, it's important to understand that having an anti-virus/anti-Trojan program and a firewall does not give you a free license to click on just about any email attachment or file you download. The most important part of security is eternal vigilance.
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