How To Create Undeletable And Unrenamable Folders ?

Go to Start and then Click on Run
Type cmd & hit enter (To open Command Prompt ).
Remember you cannot create Undeletable & unrenamable folder in your root directory (i.e. where the windows is installed) That means you can't make this kind of folder in C: drive if you installed windows on C:
Type D: or E: and hit enter 
Type md con\ and hit enter (md - make directory)
You may use other words such as aux, lpt1, lpt2, lpt3 up to lpt9 instead of con in above step.
Open that directory, you will see the folder created of name con.
Try to delete that folder or rename that folder windows will show the error message.

How to delete that folder ?

It is not possible to delete that folder manually but you can delete this folder by another way mentioned below.
Open Command Prompt
Type D: ( if u created this type of folder in D: drive) & hit enter
Type rd con\ (rd - remove directory)
Open that directory and the folder will not appear because it is removed.