Remember the story of the Trojan horse that the Greeks used at Troy? They made a giant horse out of wood, hid some soldiers inside, and presented it as a gift to the Trojans. Then, when the Trojans went to sleep that night, the Greeks sneaked out, opened the gates, and Troy thus fell.
Today, the term is used for a virus or malware program that hides inside another. Caution should be exercised when downloading items of unverifiable authenticity.
As Slave said, it coule be a keylogger. I recommend using a good anti-virus program (Norton, Search and Destroy, etc.).