Before attempting this trick, try to make a folder with no name and you will fail to do so.
1. Make a New Folder where ever you want.
2. Click on Folder and Press F2 ( Function Key : Shortcut for Rename)
3. Erase the text showing "New Folder".
4. Now keep Pressing Alt (i.e alter key) type 0160. If you are on laptop then you need to enable your Num Lock and type from the highlighted number keys not from those below function keys.
5. After that leave alt key and Press enter.
6. Done you just created nameless folder.
Note : Number keys below function keys will not work for this trick. Numbers from NUM pad is valid only.