The rogue creates files on the system so it can detects infected items.
The Trojan-Downloader used to download 2 files: the rogue installer and a trojan fake alert. This new version also comes with a RootKit (it uses the same tricks as Alureon/TDSS: patch files in memory: dump_atapi.sys and dump_WMILIB.SYS).
BleepingComputer Trust Warrior removal guide.