This is being entered in the April Fools contest. If you like it, please vote for it!
It is perfectly harmless to computers, programs and data, and when done correctly, it will look like your co-worker's computer will not allow them to close any open program windows, until you let them in on the secret.
To set up this prank, you will need access to the target Windows PC. If your co-worker uses a password, you'll need to wait until they have stepped away from their desk to go to lunch, or coffee break.
Step 1: Create the graphic
When you are happy with the layout, hit Ctrl + Prt Scr (Print Screen). This will copy the screen image to the Windows clipboard.
Open Microsoft Paint, by selecting Start > All Programs > Accessories > Paint. (You can also use any other graphic or paint program.)
Hit the Paste icon, or Ctrl + V, to create a graphic and save it as aprilfools.bmp. Be sure to place it in a folder that you can easily find, like in the default documents or pictures folders, or even on the desktop.