.exe -> .jpg

So I have a simple keylogger that I'm trying to get onto a friend's computer, however they're all smart enough to not open any exes from me. I'm pretty sure there's a way to embed an exe inside of a jpeg where when you open the picture, you execute the program.

Couldn't you spoof the e-mail so it looks like it's from a trusted source, and send an installer for some crappy freeware program that will also install (but not uninstall) & run the keylogger as a background process?

Or just, you know, whip out a CD and put it on their computer when you're hanging out with them and they go to the bathroom or something.