First Right click on file scroll down to properties and click on tab that says customize and you will get a screen like this

Once here click Change icon and goto the spot where the icon is blank like this (you should see a few blank ones)


Now Right Click and click rename !
Now in XP you can just hit spacebar and it will not have a name at all (In XP its completely hidden I used to do this in xp years ago) I was upset when I tried to do it in vista the first time and it would not let me remove the name completely !
In Vista you can name it ` and it will look like this ( Now if you want it on your desktop like I have it in these screenshots and want it hidden here the extra steps you have to do)


To find the file highlight the area with mouse you should see the vista shadow over the icon click it and you folder will now open
if you want to add a step go here Clicky


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