A report by a Hungary-based security laboratory, indicates that a
Microsoft Word document that triggers a zero-day kernel exploit was identified as the dropper for DUQU. Upon successful exploitation, the
Microsoft Word file drops the installer files that load the DUQU components that were initially reported a couple of weeks back.
A visual summary as follows:

Details regarding the zero-day exploit used have not yet been disclosed. However, Microsoft is expected to release information on it soon.
More details on this exploit discussed in
an article from Trendmicro.