I highly recommend that all you Windows users install this free tool from Sophos to protect your machines against a shortcut exploit attack, until such a time as Microsoft choose to patch the vulnerability: clicky.

The vulnerability affects all versions of Windows back to 98 and essentially allows an attacker to execute code by embedding it within the image data of shortcut or “lnk” files.

Update: as of 4 August 2010 Microsoft has issued a patch for this here.