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This tutorial shows you how to create a hidden folder in Windows XP. Do you have have something to hide from view?
Notes from Video:
Hold down the ALT key and using the Number Pad (not the numbers where the special characters are) press 0160 for a blank folder name.
In order to delete the folder you'll need to rename it in a command prompt by typing:
ren " " foldername
That's not a space in between the quotes. You need to press ALT+0160. You'll then be able to delete the folder.