There are a number of these floating around, ranging from the basic and annoying to some that are approaching art in their integration and complexity.
My mother recently (despite all the advice and safeguards I gave or put in place) managed to get her PC infected with one of these - inevitably from Facebook. It's of the basic and annoying variety (it still does the job), and comes with a separate auto downloader, so even if you get the worm it tends to re-appear. She's cancelled the card she uses for computer purchases and I am currently mulling over whether to bother trying to get rid of just the worm or just start afresh with a clean install.
Best advice I have is take the same precautions you would when clicking on strange email links (hopefully you don't), install Chrome (and removing obvious access to other browsers) if you have people that are prone to poor internet hygiene, and keep your PC fully updated.
A lifehacker article today in fact has 5 good update tools:
Five Best Software Update Tools - software updates - Lifehacker
As an aside: The best one I have seen was just superb, better integrated with windows than any program I have ever seen, no poor English, attractive professional graphical design work, and a pain to remove, it was relentless (there are now procedures to remove it). Whoever did it could have easily gotten a good job as a programmer (although it would probably have paid less).