In the e3 footage, Midna appears as an "item" you can use. She gives hints, similar to Navi in OOT. When you "use" her, Link's Shadow morphs into a shadow assuming the form of Midna and then she talks to Link.
So, there you have it, Midna exists/communicates/hides in/etc... as Link's Shadow when Link is not in the Twilight Realm.
"Spoiler space" is quite a bit obsolete. Try the spoiler tag next time if you're worried.
Though personally, I think if you're in the "spoiler" forum, you're looking for them.
Anywho, somebody pointed this out recently. Brings up a few questions.
I'm starting to wonder if Midna is the ruler of the Twilight Realm, and is trying to reclaim control of her world from Ganondorf. This would make Twilight Princess yet another *explanation* of Link to the Past.