Reading back to the original post, he wanted to hide it within a picture or video. That changes the deal a little bit. It is easier to hide an executable within another executable than it is to hide an executable in a picture or video. The idea is that the .exe is already making system calls and such that you can abuse, while a video or picture is generally read from and interpreted by some other application. There are ways to include nasty code into a video or picture so that the application reading the file gets "hacked", but this isn't the same as having a hidden program kick off in the background. There are some ways to do this, but they are not as clean or consistent as you'd probably like.
CISSP, CISM, CISA, GCIH, GREM, CEH, HMFIC, KTHXBIROFLCOPTER