How to protect my Data

[suniltr77]

I have been infected by a Virus. Whenever I copy some data with my pen to another computer there it seems another foldername.exe. For example if I copy 2 doc file in a folder called study material then after pasting in to another comp there seems another folder called study material.exe within the folder study material. After I realised this I stopped the transfer of files. In these days I have tried half a dozen AV products. All are removing that worm, but again the problem persists. If I will format my total hard drive than I will lost a lot of data. If I will save them in DVDs then it will reside in those disks. I have scanned the disk by online scanners. But it neither helped.
Can anybody suggest me a good idea for protecting my data.
My OS is WIN SP2

[chicha]

to remove virus install kaspersky or nod32 and run a full system scan in safe mode, then use any spyware or malware remover and run them in safe mode too.
this should help you out.

[suniltr77]

I have already tried kaspersky in conjuction with Spy but Search and Destroy/Windows Defender.It seems to be removed. But soon it comes back.