A considerable number of malware downloads files from a remote location once it gets installed and run on the targeted computer. Sometimes it is just a configuration file, sometimes - as with downloader Trojans - is additional malware, and occasionally it is additional modules and components.
In this latest case discovered by Trend Micro researchers, the infection with a variant of the information-stealing Gamarue starts with a shortcut file to an external file, and ends with malicious files being downloaded from one of three (obviously bogus) Sourceforge projects: "tradingfiles," "stanteam," and "ldjfdkladf".
The first two have already been deleted, and the third one emptied of all files. The account of the user who created them has been deleted (whether or not by Sourceforge or the user it's impossible to tell), but according to the researchers new files were uploaded into these projects from June 1 onwards.
The initial malicious file has likely been found on an infected removable file, but Gamarue peddlers are also known for taking advantage of the Blackhole exploit kit to deliver it.