This is a really cool feature of NTFS that very few people know about. Basically, you can hide any number of files (or "streams"), inside another file. Open a command prompt, and go to your desktop (or where ever), do do the following:
Microsoft Windows XP [Version 5.1.2600]
(C) Copyright 1985-2001 Microsoft Corp.
C:\Documents and Settings\Ron> echo "This is an empty file, trust me!" > file.txt
C:\Documents and Settings\Ron> type C:\windows\system32\sol.exe > file.txt:hidden1.exe
C:\Documents and Settings\Ron> C:\windows\system32\winmine.exe > file.txt:hidden2.txt
C:\Documents and Settings\Ron> type C:\windows\system32\winmine.exe > file.txt:hidden2.exe
C:\Documents and Settings\Ron> start .\file.txt:hidden1.exe
C:\Documents and Settings\Ron> start .\file.txt:hidden2.exe
The "echo" simply creates an empty file.
The two "type" lines embed two different .exe's inside file.txt. No matter what you do to file.txt, you'll never be able to see them.
The next two lines run the two different hidden programs. You can run these like this at any time.
Note that this _won't_ work across a network or if you put it in a zip or anything else, since this is a feature of ntfs.