According to Microsoft, all versions of Windows except Windows Server 2003 are vulnerable to attacks based on a bug in OLE (Object Linking and Embedding).
Attacks exploiting this vulnerability would take the form of a specially-crafted PowerPoint document.
Microsoft has released a Fix It solution that can be used to close this hole until a proper patch is released. If you commonly receive PowerPoint documents from unknown sources, you are strongly encouraged to apply this fix or refrain from opening those documents.