At that time, while they were so much absorbed, almost in madness, a demon associate of Kuvera (the treasurer of the heavenly planets) appeared on the scene. The demon's name was Sankhacuda because on his head there was a valuable jewel resembling a conchshell. Just as the two sons of Kuvera were puffed up over their wealth and opulence and did not care for Narada Muni's presence, this Sankhacuda was also puffed up over material opulence. He thought that Krsna and Balarama were two ordinary cowherd boys enjoying the company of many beautiful girls. Generally, in the material world, a person with riches thinks that all beautiful women should be enjoyed by him. Sankhacuda also thought that since he belonged to the rich community of Kuvera, he, not Krsna and Balarama, should enjoy the company of so many beautiful girls. He therefore decided to take charge of them. He appeared before Krsna and Balarama and the damsels of Vraja and began to lead the girls away to the north. He commanded them as if he were their proprietor and husband, despite the presence of Krsna and Balarama. Being forcibly taken away by Sankhacuda, the damsels of Vraja called the names of Krsna and Balarama for protection. The two brothers immediately began to follow them, taking up big logs in Their hands. "Don't be afraid, don't be afraid," They called to the gopis. "We are coming at once to chastise this demon." Very quickly They reached Sankhacuda. Thinking the brothers too powerful, Sankhacuda left the company of the gopis and ran for fear of his life. But Krsna would not let him go. He entrusted the gopis to the care of Balarama and followed Sankhacuda wherever he fled. Krsna wanted to take the valuable jewel resembling a conchshell from the head of the demon. After following him a very short distance, Krsna caught him, struck his head with His fist and killed him. He then took the valuable jewel and returned. In the presence of all the damsels of Vraja, He presented the valuable jewel to His elder brother Balarama.
Krsna Book, Chapter 34
The demon Sankhacuda was killed by the Lord during His pastimes at Horika in the month of Phalguna, and the same ceremony is still observed in India by the burning of the effigy of Sankhacuda one day prior to the Lord's pastimes at Horika, generally known as Holi.
Srimad-Bhagavatam 2:7:33 Purport
In the Lalita-madhava, a friend tells mother Yasoda, "How wonderful it is that when the Sankhacuda demon--vast and strong as a great hill--attacked your Cupid-like beautiful son, there was no one present in Vrndavana to help. And yet the demon was killed by your little son. It appears to be due to the result of severe penances and austerities in your past lives that your son was saved in this way."
Nectar of Devotion, Chapter 29
Bhaktivedanta Book Trust. Excerpted from text and purport of HDG A.C. Bhaktivedanta Swami Srila Prabhupada.