Once the Trojan has infected your system, removing it is similar to removing other viruses. Depending on the specific Trojan horse virus you are infected with (there are many different ones) the steps and effort to remove it may be different. For most any virus infection if the virus was not detected and blocked or quarantined when it first tried to run or load, you're going to have trouble removing it while the system is running.
The best thing to do first is power off your system. If you are sure you are infected don't bother trying to shut down the system normally, you'll give the Trojan horse more time to make changes, alter system files, or spread other ways. Just power it off.
You will want to use a recovery disk which can boot up and includes malware removal tools. Your anti-virus software package should have this option, although you may need to burn the disc if you don't have a retail copy and instead downloaded the anti-virus or anti-malware suite.
The point of booting up using a known good clean boot CD or other boot device is to prevent the virus from loading into memory and blocking the loading or actions of removal tools. The removal tools can search for and remove the Trojan horse virus on your normal boot device and other disks or media. Once you are sure the Trojan has been removed and any damaged files have been replaced (you may want to run a Windows repair to ensure this) you can boot up normally.