It seems unlikely any alien malware could be targeted to affect our computing platforms. However, if they had preexisting knowledge of computing as implemented on Earth, it would be less complex. If there was a type of malware universal enough to do so, it would probably be some kind of attack against the universal notion of intelligence itself. In which case, you may need to isolate it from humans as well.

I think the most likely scenario for receiving any kind of alien Trojan horse signal, would be if the signal was some kind of instructions for how to create and execute an alien AI as encoded in the signal. However, that would require complex analysis and human intervention to build. Unless we reach a point where AGI systems can search, interpret, and implement instructions from said signals, any threats would require significant involvement from humans in order to materialize.

At least, those are my initial thoughts.