Microsoft Malware Protection Center published a document on Battling the Zbot Threat, a special edition of the Security Intelligence Report. It is a very good document, worth looking at.

This is the intro (to make you curious for more):

This document provides an overview of the Win32/Zbot family of password-stealing trojans. The document examines the background of Win32/Zbot, its functionality, how it works, and provides telemetry data and analysis from calendar year 2010 about how this threat is detected and removed by Microsoft antimalware products and services.