This post deals with a mechanism to spread your malware through removable media like pen drives or memory cards or portable hdds or whatever. The method described here is a potential mechanism that could be used for the said purpose. With this mechanism, a malware deployed on a single machine could spread itself in quite a small time (sort of a a chain reaction). This is a method commonly used by malware developers as part of their spreading policy.
Basically,this mechanism relies upon the AUTORUN feature provided by Windows. AUTORUN is a feature by which certain actions can be perfomed when a media device(like hdd,pen drives) is accessed. With Autorun,you can set to execute a file when the device is accessed. You could also alter the right click context menu actions on the device.Basically Microsoft introduced this concept with a view to enhance the user friendliness ,buts its been used more often for the sinister purpose .The actions are stored in an Autorun.inf file is the root path of the device.
A sample autorun.inf file for executing malware.exe upon access of a media device is shown below.

Sample autorun.inf
The Worm
Presented here is an ActiveX control which i developed in VB6(source can be downloaded here[VB6]) which well,could be embedded in your Visual Basic/Visual C++ application(or malware,he he) to copy the required malware executable to the removable media with the corresponding autorun.inf also being created to execute the malware upon the device access with the commands to alter the right click context menu actions like open,explore,autoplay.
Download Active X Control
Download Worm ActiveX Source
The Source of the ActiveX control is given below:

VB6 Source Code:Worm
The control starts its action when the start() method is called. This method takes 2 arguments-the path of the executable which is to be copied and the name of the executable under which it will be copied to the removable media(the name will hence be used in the autorun.inf file)
Once the method has been called,the control checks for the presence of any plugged in removable media(by the GetDriveType API) every 10 seconds and if found,copies the given file and creates the autorun.inf files and sets the attributes of both as hidden + system so that those will not be visible normally to the user.
When that removable media is plugged to another computer and is accessed normally,the executable specified in the autorun.inf file is executed(autorun feature is enabled by default on all machines running XP and higher). Thus,with a malware installation file(the below post deals with malware installation),you could install the malware on a machine as well as start spreading the malware from that machine.