A trojan for Linux should exploit a vulnerability that requires little and "safe" user interaction like visiting a website, playing a video, etc. But then it wouldnt last long. The vuln would be patched and AV softwares would detect the code, unless it uses polymorphism. At times you see an entire page at securityfocus for Linux vulnerabilities and software running on linux, like webbrowsers for example. They could do it a lot more, but since the majority of users are on Windows and are stupid as hell, they prefer to send out exe´s with less common extensions like .PIF, .COM, .SCR, .CMD or double extension ".jpg.scr" to try to mislead the user. There have been extension spoofing vulns in IE and there is a LOT of file types in Windows that can run code, by design but the malware writers keep on these because they simply rename their exe to .com, .cmd, .scr etc and voila. Actually most of them are skiddies using plain social engeneering.