Mulder and Scully investigate the death of a child who was killed following after a balloon that floated onto some railway tracks — moving against the wind.
Adult Fear: Your child wandered off in a public place because he wandered off while you looked away for a while (going to the bathroom), even though you had tied him up. And then you see him get hit by a train.
Sequel Hook: While holding down Charlie, Mulder looks the snarling devil child straight in the eyes. He's warned by the Caluşari to be careful in the future, because the devil now knows him.
Social Services Does Not Exist: Averted. Scully thinks they need to get Charlie away from his family (specifically his grandmother). Karen Kosseff, an FBI therapist who appears in several episodes, tries talking to Charlie.
Spooky Photographs: A digitally enhanced photograph shows a blur leading the balloon that lures Teddy towards the train tracks. It's the "spectral snap" type of the trope.