Nonsense.
First of all, CON is not the only such "special" name. The other such names are AUX, PRN, NUL, LPTx and COMx, where "x" is a digit.
Second, Microsoft and Bill Gates know all about it, because they made it so long time ago, in the days of MS-DOS.
Third, the reason why you can't create such a file or folder is because it already exists! In particular, CON is the system console (the screen), PRN is the default printer, LPTn is printer #n, AUX is the default serial communication port, COMn is serial communication port #n, and NUL is the "null device", equivalent to /dev/null in Unix.
For instance, open a command prompt and enter
copy somefile.txt con
where somefile.txt is a text file - and the contents of that file will be sent to the screen. Enter
copy somefile.txt prn
and it will be sent to the printer, if you have one attached to your computer.
Fourth, you *can* create such a folder, if you're using an NT-like OS (WinNT, Win2K, WinXP) and if you *really* want to. For instance, let's suppose that you want to create a folder named CON in the folder C:\My\Folder. Open a command prompt and enter the following:
mkdir \\?\C:\My\Folder\CON
Voila, the folder CON is created there. But you can't enter that folder, can't put anything in it and can't delete or rename it from the Windows Explorer. The only way to delete it is similar to the way you have created it. Open a command prompt and enter
rmdir \\?\C:\My\Folder\CON