Phyllo or filo is a very thin dough used in Mediterranean cooking; it's usually formed into stacks of rectangles. You can make it or buy it frozen. I've never actually made it myself, so I won't include a recipe here, but I understand that it consists of white flour moistened with a little oil and water, and may also contain salt. You should be aware that phyllo is rolled out until it's paper-thin, which can be difficult or impossible for the home cook to achieve. I recommend buying a package of frozen phyllo sheets.
Frozen phyllo needs to be thawed to room temperature before being used; leave it in the fridge overnight, then on the counter for about an hour before using it. The trick to working with phyllo is organization, speed, and practice.
It's best to work with one sheet at a time, leaving the rest covered loosely with plastic wrap or parchment paper and a damp tea towel; this is to stop the rest of the sheets from drying out. Be sure you have a large area to work on, and that the ingredients that you are using to fill the phyllo are ready at hand.
Generally the phyllo is moistened with a little fat, either melted butter or oil. Traditionally this is brushed on, but olive oil or butter-flavoured cooking spray is a new product that makes this job easier. Just be sure that you cover the entire surface of the sheet thinly but evenly with fat. If you're brushing it on, work from the centre out and use broad, quick strokes. Because items generally utilize more than one sheet of phyllo, a crack in one sheet is not a big deal.
Several layers of oiled or buttered entire phyllo sheets encase spanakopita (spinach pies) or desserts like baklava; it is traditional to score the top sheets in a diamond pattern before baking.
For items such as tiropites, two or three oiled or buttered phyllo sheets are stacked, then cut into strips. A small spoonful of meat, cheese, or spinach filling is placed on the bottom of the strip, then the pastry is folded over and over around the filling, resulting in small stuffed triangles; the top is brushed with a little more butter or oil, and then the whole is baked in a hot oven till golden brown. The same method is used to make cigar-shaped rolls; also popular are small purses, formed by pinching the corners of a square of stacked phyllo sheets up around a dollop of filling. See my spanakopita write-up for directions on how to make triangles, rolls, purses, and big pies using phyllo.
Items made with phyllo can be frozen unbaked; remove the frozen item and bake immediately as per recipe instructions, adding 5-10 minutes to the baking time. Or freeze baked items and reheat in a moderate oven, from frozen, till hot through.
Another idea is to line muffin cups with 3 or 4 stacked squares of oiled or buttered phyllo and bake in a moderate oven till golden brown; remove and let cool, and then fill with something that doesn't require cooking.
See also tips for working with filo.