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).
Exploiting a vulnerability before a malicious entity does actually is helpful because you can be prepared and patch it before shit happens. Whether or not what Kaspersky found is a vulnerability to begin with is another question (which I believe is not, like all of you).
I am not entirely cartain about the story, but i have read that there were even cases of shild porn pictures stored in blockchain, there is a copy here ;
https://bitcointalk.org/index.php?topic=191039.0 , and that is only a start of blockchain abuse.
I dont see why everyone is attacking kaspersky, they are making a warning before shings get out of hand, atleast what we can do is listen to what they have to say.
cheers