How the

How do I embed a WinRAR file into a jpg?

cat loli.jpg r@ygold.rar > partyvan.jpg

Using windows:
type rarfile.rar >> picture.jpg:secret

To get it back:
type picture.jpg:secret >> rarfile.rar

The secret will be lost in network transfers.

Or check stuff like http://www.snapfiles.com/get/masker.html

Wait, where do I type this stuff

I have no idea how to do this D:

>>3
My bad. You can put whatever you like in to the file, but the syntax for getting it out again is:
more < picture.jpg:secret
and that can only handle text. Inferior dos commands

Example usage (Test this! It's quite cool)
1. echo "test" >> test.txt
2. Check file size of test.txt
3. echo "secretstuff" >> test.txt:secret
4. Check file size of test.txt (Not bigger than before!)
5. more < test.txt:secret
6. ???
7. Profit!!!

This is a phenomenon called alternative data streams, and is a "feature" of NTFS commonly used by rootkits.

>>3
That's using alternate NTFS data streams, pretty clever and undetectable with any but a few select, underground utilities; doesn't alter the file size and doesn't seem to exist. It however won't work in non-NTFS filesystems like optical media or network transfers indeed. You can append a file to another just like >>2 said with COPY file1 + file2, for example, or with the GNU utilities if you prefer them.