There was a unicode ♥ in 1993?
In Windows, you can type characters in the Latin1 character set by holding down Alt, then typing a zero on the numeric keypad, then the code you want, such as Alt+0233 for "é". The leading zero disambiguates Latin1 characters from the traditional DOS character set, so you'd have to type Alt+130 to get the same character that way.
In later versions of windows you could change the folder icon to be an empty image, then have it on your desktop where nobody could see it.
♥ is code 3, which is the same as Ctrl+C - typing this at the DOS prompt would cancel any input on the current line (and also flush disk buffers IIRC - something left over from CP/M)
It is possible to detect if the user pressed Ctrl+C or Alt+3, using BIOS calls or direct hardware access. However, the DOS console driver wouldn't do it this way, and instead convert both into the same ASCII code.
The only possible way to pass this character to the "copy" command (which was built into the command interpreter) would be to write a program that invokes "COMMAND.COM /C COPY /♥".
Story seems suspicious, if it happened at all it might have displayed "I ♥ SEX" when some other switch was present, then someone mixed things up?