It is based on the idea of establishing a connection to the P2P networks of cryptocurrency enthusiasts, fetching information from transaction records and running it as a code.
So it is complete FUD - no normal Bitcoin client works like this at all.
You'd need some specially created Bitcoin client that uses something like OP_RETURN data as an executable (and I don't believe there even is such software in existence unless Kaspersky created it just to published this FUD article).