Before attempting this trick, try to make a folder with no name and you will fail to do so. This is what this trick will let you do.
1. Make a Newfolder on desktop or where ever you want.
2. Right click on this newly created folder and select Rename.
3. Erase the text showing "New Folder".
4. Now keep Pressing Alt (i.e alter key) and type 255. 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.