Zombies in the Snow was a movie directed by Gustav Sebald. The movie appeared in The Reptile Room, when Dr. Montgomery, the Baudelaires and Stephano went to see it. It's revealed to contain Sebald Code, but Dr. Montgomery never learned it. The coded message was: 'Attention! Hidden in the snowman is a survivor of the fire. Meet us in the town where this film takes place. Bring the three children. Your new assistant is not one of us. Beware!'
Young Rolf was played by Count Olaf in the book series, according to Lemony Snicket: The Unauthorized Autobiography, but played by Gustav in the TV series.
In the TV series adaptation, the secret message in Sebald Code can be seen with a V.F.D. spyglass, with the dials set to 2264 (22=V, 6=F, 4=D). Every time the V.F.D. eye insignia appears in the top right corner of the screen and a beep is heard, one can view the secret message with the spyglass. The coded message is hidden in the subtitles of the movie.
The movie seems to be very poorly made, which might mean that the V.F.D. had to make the movie very quickly. Both Gustav and Jacquelyn were in the movie as Rölf and Gerta, respectively (in the book series Rölf was played by Count Olaf).