If you build in intrusion detection capabilities, they will come.
Mea culpa. I only just noticed that your post was under the heading of FAQ and you were looking for a detailed answer on how it can be done now, not what we want in the future. DOH!
Comodo Personal Firewall can help fight trojans because a trojan to run must be executed by the user. With every new executed program Comodo Personal Firewall alerts you of the changes the program is trying to make to run, if this is a trojan it will usually make changes in the Windows System Files, where a regular program most of the time will not.
Did I miss anything ???