1.Create a folder.it shud look like this
2.Now clear the name it shud look like this
Make sure ur num lock is on
Now hold down alt and type 0160 from the NUM PAD.
It shud look like this
U see that the folder has no name.
4.Now right click on the nameless folder, select properties.
Go to the customize tab.
You will see a Change icon button at the bottom,click it.
5.After u click the change icon button select an icon which has no image
Click ok and ur invisible folder has been created.Only u know that this folder exists
U can keep anything u want in here.
P.S:This works only in XP and may be in Vista(the author does not have vista to test).