To protect yourself against Trojan horses, use a combination of different protective tools and a little common sense.
The best way to stop a Trojan horse is to make sure you block all possible ways it could infect your computer, such as installing a firewall, taking care not to run unknown programs, and physically blocking access to your computer so some stranger doesn't purposely or accidentally install a Trojan horse on your computer when you're not looking. For more information about Trojan horses, visit HackFix (http://www.hackfix.org), which offers information about Trojan horses, or TL Security (http://www.tlsecurity.net), which provides Trojan horses and source code for you to examine.
Trojan horses may be dangerous, but by avoiding unknown programs and protecting yourself with a handful of defensive programs, you should be able to keep your computer free from any Trojan horses that might threaten your data. Now you just have to worry about the people around you.