> I read that you can modify the
third byte of a program, and the
> program continues operational
I just tried this with Calc.exe and it works. But, then XP's file protection
kicked in and replaced my modified Calc.exe with the real one again.

This also happens with Explorer.exe and Cmd.exe, so you can't use this
tip with important system files.
Doing it with your own app should work fine, though. I just tried it and it
works. If you pack your app with UPX, you can even modify the locations
of the string "UPX" in the exe to store even more data. Just remember to
take things into account like the user making the exe read-only, as I do
before running a new app. I also backup the exe before running it.

Also, some users might pack the exe with UPX to save disk space or to
make running it from a floppy a bit faster. What would you do then?