How do Treasury bills work?
Treasury bills are generally sold at online auctions in increments of $100. They don't pay interest directly, and instead offer a discount to the buyer, who is then able to cash them in at maturity for the full face value. For example, if you bought a $100 T-bill, you might pay $96 to buy it originally, earning $4 at maturity when you cash it in for $100.
Treasury bills mature very quickly compared to many investments, and you can choose T-bills with maturity lengths as short as a month or as long as a year. Although there is no state or local tax on your gains, there is a federal tax that will be due, so that's important to keep in mind.