Are you using Windows2000? There's an undocumented registry setting known as "super hidden," which will hide files from Explorer, even if you tell the system to show them. The only way to see them is by opening a command prompt and using DIR FILENAME /S /A /P . This was an exploit used by a number of the Nimda variants to really screw with me!
Here are a few links:
Mark
I'll go check for that right now...thanks for the tip!