There are many kind of virus that do this, they work and spread though infecting autorun.inf. As soon as you access an infected drive it can run automatically. To protect yourself from them it is recommended to disabled the Autorun feature on all drives on your computer. When you do get it cleaned ensure you also clean the external flash drives and devices like iPods, etc.
Someone else will have to tell you how to remove it as I'm not allowed to here (not a specialist).