A trojan horse spreads like a virus, but it is more dangerous:
Trojans are viruses who wait for you to go online once you have
executed them. If you go online the trojan horse writer will get
notified. Then he can gain control over your whole computer,
can delete files, copy files, and manipulate settings.

There are trojans like BackOrifice or Sub7 which also supports
remote control of the victim.

Unlike a virus the writer can steal information (documents, passwords) from the victim. Once it is installed you sometimes dont even notice it for month that you have been bugged.

So scan your pc regulary