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Kaspersky Lab classifies such programs as Trojan-Spy or Trojan-PSW. The graph below shows the increase in the number of modifications in this category:

Figure 1. Growth in the number of malicious programs designed to steal data
Spy programs arrive on victim machines in a number of ways: when the user visits a malicious website, via email, via online chat, via message boards, via instant messaging programs etc. In most cases, social engineering methods are used in addition to malicious programs so that users behave as cyber criminals want them to. One example is one of the variants of Trojan-PSW.Win32.LdPinch, a common Trojan that steals passwords to instant messaging applications, mailboxes, FTP resources and other information. After making its way onto the computer, the malicious program sends messages such as
"Take a look at this
< link to malicious program >
Great stuff :-)
Most recipients click on the link and launch the Trojan. This is due to the fact that most people trust messages sent by ICQ, and don’t doubt that the link was sent by a friend. And this is how the Trojan spreads - after infecting your friend’s computer, the Trojan will send itself on to all addresses in your friend’s contact list, and at the same time will be delivering stolen data to its author.
One particular cause for concern is that nowadays even inexperienced virus writers can write such programs and use them in combination with social engineering methods. Below is an example: a program written by someone who is not very proficient in English – Trojan-Spy.Win32.Agent.ih. When launched, the Trojan causes the dialogue window shown below to be displayed

Figure 2. Dialog window displayed by Trojan-Spy.Win32.Agent.ih
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