What happens is, when you put the CD in your computer. It installs some software a 'rootkit' which hides itself, and anything else beginning with $sys$ from pretty much anything that searches your computer. As such any viruses that use this exploit will be invisible to virus scanners.
On top of this the software Sony use is really poorly built. Such that when you remove it, it will stop your CD drive working, untill you fix it. And it may do worse things. See the post at sysinternals, mentioned above.
Ian