This attack is derived from the classical myth of the Trojan Horse. Trojans are applications that masquerade as legitimate and often interesting software. Links or attachments in emails from people you dont know should always be treated with suspicion. Of course, if you have an up to date anti-virus program running, you greatly reduce the risk of being infected with a Trojan, but it’s best not to take any chances.
One of the more nasty Trojans to watch out for are "keyloggers" which capture and store all the information you type then forward it to some very sophisticated hackers or criminals.
Follow the tips in the Protect your personal computer section to diminish these risks.