Simple, and probably widely known but useful nonetheless.

Place the folder on your desktop, and customise it to have no icon. (Right click>Properties>Customise>Change Icon)

Then, name the file with the character you get by holding ALT and pressing 0160.

Makes sense to drag this icon away from the rest of the icons on your desktop, so there isn't a gap in the middle of them.

Note, this folder will still be visible within Windows Explorer unless you go down the router of making the folder 'hidden' by Windows.