Filo (also "phyllo" or "fillo") is an extremely thin pastry dough that is commonly used in Turkish cuisine. You can find filo in the frozen section of most grocery stores near the desserts and pastries. Filo is sold rolled in 1 pound boxes of 20-30 sheets, and will keep for months in the freezer. The brand I buy is 13"x18"; you can buy smaller sizes or even cut the dough with scissors or a knife. Defrost it by leaving it overnight in the refrigerator; avoid defrosting at room temperature as the sheets are more likely to stick to one another. Filo will keep for a few weeks in the refrigerator.
Filo very quickly dries out when exposed to air. When using filo, be sure you have all the ingredients handy and the oven preheated. Have a convenient area to unroll the filo clean and ready and keep a clean damp cloth and waxed paper or parchment paper handy to keep the supply of dough covered while you work. What I like to do is use lint-free cotton "jumbo flour sacks" (32"x38" towels). I put one down on the counter to unroll the filo onto. I put a piece of waxed or parchment paper on top of the stack of filo once open, and put a second lint-free towel, this one just barely moist, on top of the paper (but not touching the dough). Typically, you will be spreading melted margarine (or oil) on the individual sheets - it is handy to have a pastry brush, and you should focus on quick, broad strokes, working from the edges in; don't saturate the sheets, but quickly get some margarine on each sheet before it dries.
It's fun to cook with filo! Try making filo triangles filled with fruit or maybe a tofu and vegetables stir fry, or experiment with other ideas; see my recipe for Pear Filo Triangles below. The benefit of triangles or other pockets is that these readily form nice appetizers and take less time to cook. The basic idea is to cut the filo into 2.5 to 3.5 inch strips the long way (parallel to the long direction of the dough), lightly grease a strip, and put a little bit of filling near the bottom, then fold the strip up like you were folding a flag, ensuring that the dough completely encases the filling. If you have too many strips, you can always double- or triple- wrap; I prefer doubling, but see details below. Place the triangles on a baking sheet, brush with margarine, and bake at 375 degF for 16 minutes or so, or until golden brown. Try simple fillings like wild mushrooms, quickly sauteed with shallots and red wine; tomato paste with olives; or roasted eggplant mixed with a bit of fresh fennel root, sage, and salt - and your guests will label you a gourmet! You can even find prebaked filo shells in the store; simply add (for small shells) 1 to 1.5 teaspoons of your filling, gently press down, and bake the filled shell in a 350 degF oven for 7 minutes.