Skype Worm Infects Windows PCs
walterbays writes with news of a worm spreading to Windows PCs through Skype's IM. The worm is variously called Ramex.a and Pykspa.d. A poster on a Skype forum explains how to remove it. "After hijacking contacts from an infected machine's Skype software, it sends messages to those people that include a live link. Recipients who blithely click on the URL — which poses as a JPG image but is actually a download to a file with the .scr extension — wind up infected."
F-Secure has information as well.
It does not "inject code" into Explorer any more than Notepad injects code into Explorer to run itself. An "infected user" is probably not the right person to listen to in such technical matters. FSecure has complete details on it if you're really interested here
This space for rent.