I got this one yesterday and it got through a heap of protection on my machine.
All was well until I was about to sign off for the day (close Internet and pull the plug on the wall). I got a red screen that screamed at me that some Privacy report said I had Worm.Win32.Netsky
I nearly fell over with laughter.
The box said
"Windows has detected a worm.win32.netsky....."
Darn windows can't detect itself let alone a virus etc.
I found the little sucker though.
It was a folder called Privacy inside WINNT folder, and when I opened this folder I saw the red icon that was now boldly on my desktop.
I think it was some company flogging their wares, but I was so annoyed I crippled it from behind as it would NOT let me right click on desktop to get my original piccy back; it would NOT allow a right click to get into Taskbar; It would NOT allow me access to My Computer through the front, (went back door instead to bust its chops).
My apologies to here, if I had known that this sort of trash would be helpful in making Spybot even better, I would have taken a lot more care and a heck of a lot more details.