Not sure what use this baby is (apologies to Ben Franklin), but Windows XP and Vista have a built-in program called Private Character Editor that lets you create a glyph, or sets of glyphs, and save them as Unicode characters in the range from E000 to F8F0. The characters can be made available to all your installed fonts or to just one font. You create the glyphs as bitmaps on a 64x64 grid using a tool set similar to the MS Paint program.
The editor doesn't appear anywhere in the Start menu as far as I can tell; you have to click Start > Run and type eudcedit.
(Later edit: Sorry, that should have been Private, not Personal. I changed the title and text accordingly.)