The majority of trojan horse infections occur because the user was tricked into running an infected program. This is why you're not supposed to open unexpected attachments on emails -- the program is often a cute animation or a sexy picture, but behind the scenes it infects the computer with a trojan or worm. The infected program doesn't have to arrive via email, though; it can be sent to you in an Instant Message, downloaded from a Web site or by FTP, or even delivered on a CD or floppy disk. (Physical delivery is uncommon, but if you were the specific target of an attack, it would be a fairly reliable way to infect your computer.) Furthermore, an infected program could come from someone who sits down at your computer and loads it manually.
You can be infected by visiting a rogue website (IE popups). Internet Explorer is most often targeted by makers of trojans and other pests, because it contains numerous bugs, some of which improperly handle data (such as HTML or images) by executing it as a legitimate program. (Attackers who find such vulnerabilities can then specially craft a bit of malformed data so that it contains a valid program to do their bidding.) The more "features" a web browser has (for example ActiveX objects, and some older versions of Flash or Java), the higher your risk of having security holes that can be exploited by a trojan horse.
If you use Microsoft Outlook, you're vulnerable to many of the same problems that Internet Explorer has, even if you don't use IE directly. The same vulnerabilities exist since Outlook allows email to contain HTML and images (and actually uses much of the same code to process these as Internet Explorer). Furthermore, an infected file can be included as an attachment. In some cases, an infected email will infect your system the moment it is opened in Outlook -- you don't even have to run the infected attachment.
For this reason, using Outlook lowers your security substantially.
Computers running their own servers (HTTP, FTP, or SMTP, for example), allowing Windows file sharing, or running programs that provide filesharing capabilities such as Instant Messengers (AOL's AIM, MSN Messenger, etc.) may have vulnerabilities similar to those described above. These programs and services may open a network port giving attackers a means for interacting with these programs from anywhere on the Internet. Vulnerabilities allowing unauthorized remote entry are regularly found in such programs, so they should be avoided or properly secured.
A firewall may be used to limit access to open ports. Firewalls are widely used in practice, and they help to mitigate the problem of remote trojan insertion via open ports, but they are not a totally impenetrable solution, either.
the following tool can be used to identify any open ports: »/scan