Trojans are executable programs, which means that when you open the file, it will perform some action(s). In Windows, executable programs have file extensions like "exe", "vbs", "com", "bat", etc. Some actual trojan filenames include: "dmsetup.exe" and "LOVE-LETTER-FOR-YOU.TXT.vbs" (when there are multiple extensions, only the last one counts, be sure to unhide your extensions so that you see it). More information on risky file extensions may be found at this Microsoft document.
Trojans can be spread in the guise of literally ANYTHING people find desirable, such as a free game, movie, song, etc. Victims typically downloaded the trojan from a WWW or FTP archive, got it via peer-to-peer file exchange using IRC/instant messaging/Kazaa etc., or just carelessly opened some email attachment. Trojans usually do their damage silently. The first sign of trouble is often when others tell you that you are attacking them or trying to infect them!
Trojans can be spread in the guise of literally ANYTHING people find desirable, such as a free game, movie, song, etc. Victims typically downloaded the trojan from a WWW or FTP archive, got it via peer-to-peer file exchange using IRC/instant messaging/Kazaa etc., or just carelessly opened some email attachment. Trojans usually do their damage silently. The first sign of trouble is often when others tell you that you are attacking them or trying to infect them!