According to Sophos' senior technology consultant Graham Cluley, the game - 3D Anti-terrorist action - has the Terdial trojan buried in its programme code.
Whilst the happy Windows Mobile user is busy playing the game in the foreground, the Terdial trojan makes calls to a range of international destinations such as Dominican Republic, Somalia and Sao Tome and Principe, all without the user's permission.
"It's important to remember that malware for mobile devices is still quite rare, particularly when compared to infections on conventional Windows computers. But what may surprise some is that there is nothing particularly revolutionary about criminals attempting to make money out of mobile malware", said Cluley in a weekend blog posting.
"For instance, back in 2004 we saw the Mosqit Trojan that could infect Nokia phones running Symbian, forcing affected devices to send text messages to premium rate numbers. Like this latest report, the hackers hid their trojan inside a cracked version of a mobile phone game", he added.
"Sophos detects the malware as Troj/Terdial-A, and advises all mobile phone users to exercise caution when downloading and installing new applications."