Peripherals can effectively spread worms. Recently MS launched an update to disable the vulnerable AutoRun function, but what to do if you use a peripheral drive or a USB stick/pendrive on another machine.
A popular way is to create an AUTORUN.INF folder or file, but then know and be aware that certain malware can remove mentioned file or folder to replace it with a malicious version. That is why you should change permissions on the file, to do this you minimally need a disk that is NTFS formatted. For the exact procedure and how to go forward to follow see these instructions here: http://blog.trendmicro.com/how-to-maximize-the-malware-protection-of-your-removable-drives/
