Trojans are usually viruses wrapped up with other applications... if you have an installation infected with a trojan, the trojan installs in the background, or in the foreground while posing as something else. Sometimes trojans can be delivered via hyper-text-rich email or on some web pages, too... latching onto potential exploitable email client or web browsers.
Anyway, trojans are bad, though sometimes applications that write to the registry (like some software cracks) may be seen as trojans when they're not... safer to trust the warning and find a different way of breaking the software, NOT THAT I WOULD CONDONE ANYTHING LIKE THAT BECAUSE THAT'S WRONG.
By the way, are you a cop?