Here is a simple trick to create such folder named as con,aux, lpt1 etc.,
start -> Run -> type “cmd” without quotes & hit enter
1-> Type e: and hit enter
#-Note-#
If you want to create this folder in e:\ drive type e:
for c:\ driver type c:
for d:\ drive type d:
for c:\ drive type c:
2-> Type mkdir .\con\\ and hit enter
That it !!!
Folder created !!
Open the drive that you mentioned above (e:)to see the folder 
In this example i have created this folder in e:\ drive of computer
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[...] there is a Tricks to create con, lpt1, aux, pnr, nul folder, you can do it through command prompt only, once you create this folder it cannot be deleted in a [...]