Make a nameless-invisible folder

• Right-click on the desktop.
• Select New Folder. 
• To give this folder a new name press Alt and 0160 (numbers from the n
  umber keypad, i.e on the right side of the keyboard).

Tada!! A folder without any name is created!

• Now right-click it and go to Properties > Customize > Change Icon.
• A box containing list of icons will open up. Select an icon that has got no image. (Watch the video for detail)
• Click Apply > OK.
• Now a Nameless-Invisible folder is created.

It is found that one may not be able to delete this folder normally. (It is deleted normally in XP)
You need to delete this folder from command prompt.
Or you can delete it by zipping the folder using WinRar by selecting the option "Delete files after archiving".