Just Go to
1.Start
2.Run
3.Type "cmd"

Now you are in DOS PROMPT 


 4. Navigate to The Drive where you wanna create your Folder.
For example if you want to create a folder in D:/ Type "D:" ( without quotes")

 5. Type "md \aux\\" without quotes marks and hit enter. ( without quotes")
A Folder named "aux" will be created there.

Your Folder is created. Try to delete it. A common computer user can not delete it. IF you wanna delete it.
Again Go to DOS PROMPT .

Type: Type "rd \aux\\" and press Enter. The folder Will be deleted.