The software you mention, n-CASE, is just one of many pests that now exist for the purpose of putting advertising on your system and grabbing your personal data for upload to the spyware home site.
While it does not ask permission from you before it installs, it is not strictly speaking a Trojan horse, as it is not pretending to be something else.
Desktop firewalls serve to keep hacking attacks from reaching your system. Adware is software that you download, so the firewall will not be looking at it.
Antivirus products tend to look for software that is on their lists of viruses, worms and some Trojan horses. Very few look for any adware and even then for only a few programs. All software is self-installing -- they will install various components and modules. In the case of n-CASE, it comes together with other programs like Kazaa, as a module.
Your best bet is to use software like PestPatrol, SpyBot or Ad-aware to look for and clean out adware and spyware. In fact, you would be well advised to run several of these programs, as individually, they do not find everything.
For more info on this topic, check out these SearchSecurity.com resources:
This was first published in July 2003