From the Spyware newsletter:-
Anyone using the WinMX file sharing application needs be aware of a new trojan in the wild that seems to be targeted specifically at the WinMX network. This trojan is being identified as Win32.Glimp trojan by ETrust anti-virus, Trojan.Win32.WinMXtrojan.10 by Kaspersky anti-virus, and Trojan.Win32.WinMXp2p by Gladiator anti-virus.
On an infected machine, the WinMX trojan will copy Word documents, text files, .ini files, batch files, etc into a special directory, then change their extensions to .avi. This directory is then shared on the network by the WinMX peer to peer application. By adding the victim’s WinMX login name to the attacker’s “Hotlist” and then selecting “Browse”, the attacker can browse through and download every file that has been copied into the directory.
I can’t find a whole lot of information about this trojan. At this point, all I can suggest is to keep updating your anti-virus software and to double-check what are in the folders you are sharing through WinMX and other peer to peer programs. No matter which anti-virus software you have and no matter which peer to peer program you use, always scan newly downloaded files before you run them. Always.