I know its very old but many of you reading this still don't know it.
1. Go to start and click run then type cmd and hit ENTER
2. Change to the directory that you want.to create the folder
3. Assume i change to D:
4. So, in Command Prompt, type D: and hit ENTER.
5. Type in this command "md\lpt1\\" without quotes and hit ENTER
6. The folder will now be in your D: drive
7. Go to D: drive in My Computer and try to delete or rename it, you cannot do anything to it.
There are still many names that you can use to name the folder like: -lpt1to lpt9, -CON -AUX etc
1. Go to Command Prompt again.
2. Navigate to the directory where you created it, for example type D: and hit ENTER
3. Type in rd \lpt1\\
Now go to My Computer and check, its Deleted!