I haven't got a trojan since 2003.
IMHO It often happens to get one when searching for obscure Windows programs or/and cracks.
For me, AVG, Norton, McAfee, etc. are all pieces of crap, and I find the antivirus I use, ClamWin, much better than them.
It's free,open source and portable (i.e runs on Linux, Mac OS X, etc.) and as I don't need always-on scanning because I scan files only after downloading, it suits my needs perfectly. Its definitions are updated quite often.
I find always-on scanning just too pervasive and intruding.
As anti-spyware, I use Spybot S&D. But I use it seldom, as I almost always make sure a program is safe, except if I'm in an hurry.
@tailsmastermind:
Install an antivirus, do not remove trojan viruses that way. It is useless because trojan viruses remain tracks in the system that can be likely used by crackers to control your computer (to make it a spambot, for example) or to spy it