Steganography, for those of you who don't know, is the art of hidden writing. While cryptography scrambles or obscures the content of a message, steganography attempts to hide the fact that a message is being sent. The example used in this episode shows a message hidden in a crossword puzzle, but modern techniques have been developed that allow messages to be hidden in everything from digital photographs to common network protocols.
In steganography the message is hidden by a technique, or process, but does not use a key in the same way that cryptography does, so once the encoding technique is discovered you can extract the plain text from the stegotext without any additional information. With cryptography, on the other hand, you would need both the method and a key to extract the plaintext message.
When the episode's opening voice-over tells the audience that "unless you have the key" you won't wont be able read the message, it is a little misleading because the differences between steganography and cryptography is not explained.
It may have been better to say that without knowing how or where the message is hidden, you would even know its there. Better yet, you could have bored the audience with a lengthy explanation of the history of steganography and how it differs from cryptography.