How do some viruses act without appearing in task manager?

[C++ Programming]

I've newly noticed that there's an unwanted activity among processes running on my computer that creates an "autorun.inf" and an exe named "khg.exe" in every removable memory attached to the computer. When I monitored the running processes, I found they're created by "Windows Explorer" !!! Ofcourse I can't accuse Microsoft http://www.barakasoft.com/script/Forums/Images/smiley_laugh.gif , but I can't understand, how it's possible to run a thread through another processes? http://www.barakasoft.com/script/Forums/Images/smiley_WTF.gif I know the other processes, they are safe and sound http://www.barakasoft.com/script/Forums/Images/smiley_smile.gif

Thank you masters!