A rather broad question but here goes:

1. By getting physical access to your PC
2. Scanning open ports and using an exploit that compromises whatever is using them
3. By getting you to open a trojan in e-mail or P2P
4. Via a malicious script on an infected website
5. Via infected media like CDs & floppies (rare these days)
6. Via a network aware worm.
Just a few ideas



Cheers