My wife infected my PC with a trojan last week surfing for recipies. I keep telling her to use FireFox but out of habit she always fires up IE.
The good news is that while McAfee is no good at destroying sophisticated trojans, at least it lets you know you are infected. Two hours of booting in safe mode and playing with Ad-Aware and HijackThis fixed the problem.
Once I get rid of McAfee I am getting rid of IE altogether.