Korittke is correct. Though sometimes doing that will stop the program, most of the time, the program immediately replicates itself all over, with the least suspicious name possible. They also tend to run as a hidden process...
Or if whoever made it is somewhat smart, they will have it infect common windows software.
Also check your firewall, if it has a "trusted" list (Ex. Norton AV), most software tends to add the makers ip to the list. And kill of the av for extra measure.
If they want to be even smarter, when they kill the av, the run a process in place of it which looks like the av program, but doesn't act like it.
But, its mostly likely a keylogger. Thats what most "hackers" do now, keyloggers, or something along the lines of a more complicated version of the batch file containing "del c:\*.*"....
Then again, by my standards, none of that is hacking at all, its tricking people into downlaoding malicious software.