The term came from the classical myth of the Trojan horse. The Trojans believed that the horse left by the Greeks to be a gift from Odysseus as a symbol of friendship and peace. Instead, the horse was filled with Greek warriors.
Another common way of sending a trojan horse virus is through email which required the user to open the attachment in MS Outlook to activate. The attacker will send the attachment naming something interesting like 'preetygirls.exe.' Once activated, the trojan horse virus would send copies of itself to people in the MSOutlook address book.
The Trojan horse itself would typically be a Windows executable program file, and thus must have an executable filename extension such as .exe, .com, .scr, .bat, or .pif. Since Windows is sometimes configured by default to hide filename extensions from a user, the Trojan horse is an extension that might be "masked" by giving it a name such as 'Readme.txt.exe'. When the recipient double-clicks on the attachment, the trojan horse might superficially do what the user expects it to do (open a text file, for example), so as to keep the victim unaware of its real, concealed, objectives.
Anti virus programs can detect known trojan horses and update it regularly. If there is an auto-update option included in your anti virus program you should turn it on. If you receive e-mail from someone you do not know or you receive an unknown attachment never open it right away. Confirm the source.