How Trojans/Malware actually work

Hey, sorry if this is in the wrong subforum/place, I'm new

What I want to know is, how exactly do trojans work? I vaguely know about the server and the client setup, but I'd like to know a bit more detail, if possible.

When you execute the .exe containing the trojan, it "infects" the computer. With a typical trojan, what exactly happens during this infection? Where are files written to/stored etc?

When you execute the infected .exe, can it then go on to infect other .exe's on your computer, almost like a patching operation? Or does it only affect system files. In my case, I have the C: for the OS, and a separate HDD, D: for data, which includes some .exe's. I wouldn't want to clean the C: and then find that the trojan had patched another .exe on the D:, which when executed repeats the entire infection process!

What exactly does my Zonealarm Free firewall do? If I had been infected by a trojan (one that was not being picked up by scanners) and it tried to connect to it's client, what would zonealarm do? "A certain dll is trying to access the internet"?

And a last little question on heuristic virus scanning, how does that work? If someone writes their own trojan, and it is not included in virus scanner definitions because it's so new, are there specific bits of code that trigger the "it's a virus!" alarms?

Sorry if all this has been answered in another post, and sorry for quite a demanding first post

Thanks!