Well who ever made the .sit file may of put a . (dot) in front of the name. In Unix (which runs as the core of OS X), anything with a . (dot) in front of the filename will make it hidden. So that could be the case, and probably is.
I don't know your Mac will either boot to Mac OS 9 (not using classic mode), or boot into Windows, but both of those will easily show a hidden OS X/Unix file.