Trojan

My friend got a Trojan on his computer. How did that happen? Do you get those by visiting chat rooms? He has McAfee on his computer and it says he is protected by them. Why didn’t McAfee see this and take care of it? What can he do to prevent this from happening? I’ve always used McAfee for years other than Norton. Although I run scans all the time from Ad-Aware and C-Cleaner they are very good and fast. I have run scans from McAfee which takes hours to scan.