Attacks like this are the reason you should be using an active firewall. I use a NAT firewall in my router which blocks all normal incoming "probe" type attacks. However, firewalls will typically do nothing to prevent a trojan implant from a site which YOU visit.
A second line of attack is a firewall like ZoneAlarm [It is effective and it is FREE!]. The advantage of ZoneAlarm is that it will block messages being sent FROM your computer by untrusted software. You are forced to authenticate each application on your computer which sends messages.
If a trojan is installed, and if it collects private data, then it should still be blocked when it attempts to send the data back to the collection server.
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I keep my machines fairly up to date and my Norton virus protection very up to date. However, I visited a site supposedly selling equipment for the visually impaired. It looked legitimate. However, Norton did sound an alarm that a trojan was detected. Norton did NOT inform me that it had not prevented the infection. I didn't find out about the infection until the next scan two days later.
At the time of the scan, Norton was unable to delete the virus, which was running at the time. I could examine the virus enough to determine that it had been constructed in Russia at a firm started in 1991/2 to "monitor Russian legislation". [sure!]
I hand cleaned up the mess and found two collection files with email addresses that the virus had secreted away on my machine for later mailing.
The files installed, BTW, had randomized names so that searches on the executables did not produce any hits. Norton could not identify the trojan, it simply detected that an unidentified trojan was in operation on my machine.
I am running VCOM's system Suite 5 which has a firewall that detects in and Out.
Seems pretty good.