The program could delete all of the files on a person's computer, use zombie PCs -- those controlled by a master -- to overwhelm and shut down Web sites or monitor a person's keyboard strokes to collect private information like passwords or bank account information, experts said.

http://www.cnn.com/2009/TECH/03/24/conficker.computer.worm/

It was on the local news again today. Supposedly, if you can navigate to the most popular anti-virus sites, then you are not infected. One of the things it does is block those sites.