It's a program which appears to be something interesting or useful- a video codec, a crack for a commercial program, a picture or screensaver, a new version of a popular program for example.
In fact, once you click on the application and run it, it performs actions very harmful to your computer: installing other malware- spyware, rootkits, keyloggers- or prompting you to download spyware via various scam notifications, stealing personal information (credit card details etc.), allowing somebody else to control your computer and use it to send spam or attack websites, changing settings on your computer to misdirect your browser to malicious sites, disabling your security software etc. etc.
