Technically, all that's required to execute a Will is (a) a sound mind and (b) your signature. However, executing a Will this casually leads to problems.
In Colorado, if you execute your Will before a notary and two witnesses it's known as a “Self Proving Will”. This means that no one can challenge in court that it's actually your Will.
While you don't have to execute a Will this way, it's highly recommended. Wills don't need to be filed anywhere - as soon as you sign it, it's legally binding.
Keep in mind, however, it may not matter if no one can find it. But more on where to store your will (and where not to store it!) in a future post.