Do you know about MyDoom(with it's variants MyDoomA,MyDoomB,etc)?

It's one of the well-known Viruses which is Work in .exe(Executor) File.There's many more viruses that work in same pattern with MyDoom,as well as Trojan and Spyware...
All of them use 1 or 2 main files,one is .dll and the other is .exe !!
The .dll file is the Configuration files,and the .exe files are the main files that running through .dll configuration.(Nowadays,many viruses has only .exe files because the .dll file has been combined with the .exe file)

In this type of viruses,There is 1 pattern.The Same pattern is All of their .exe files do not executed by you(as the computer user) !!
They are Automatically execute themself every time the Computer is in boot state.(while you turn on or restart your computer).

Here's a nice Freeware that could Block all .exe files that running without user confirmation.With a little of configuration,this tool could be the same with "User Account Control" that you can find in Windows Vista.

Here's the Link