First of all lets get some facts. According to http://social.answers.microsoft.com/Forums/en-US/w7files/thread/23c86662-4988-4c7d-9c2d-3e33d4413de3 there are special names that are reserved by the os, which means you can't create files with those names. BUT i have found a way thanks to http://kerneltrap.org/node/5772 this instructable will tell you how create a folder with the reserved name con.
This folder can be used to... well i can't think of anything useful for it, just something to do to prove to friends how smart you are then challenge them to do it but don't tell them how, just watch as the right click->new->folder->name it con-> WTF why soesn't it work
Step 1: Two Ways
First of all open up cmd.exe (start->run->type cmd.exe). once cmd is open type mkdir \\.\C:"path"\con. Where C: is your home drive and "path" is the path to where you would like to create the folder. (remember to remove the quotation marks).