Henry Gale is the guy they caught in the episode 'One of Them'. They've been keeping him in the hatch. He claimed that he and his wife were traveling in a balloon which crashed on the island. According to him, his wife died.

In this ep, Locke asked Anna Lucia to talk to him to see if he was telling the truth. She told him if he could provide a map to the balloon, it would make his story more believable, so he did. AL, Syaid and Charlie took the map and went searching. They reached the spot, but the balloon wasn't there.

As far as Charlie knowing about Henry - at the end of this ep, when Sun and Jin were talking about who already knew about the baby, Sun made the comment "by the end of the day there won't be anyone left to tell". I think that was the writer's way of letting us know that there are a lot of conversations going on between the Losties and they aren't always shown.

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