In Unix, it's common to name files and folders with names starting with a '.' to make them "hidden". This convention is not really needed in Windows, since there's a file system attribute for that, but still interesting.
See, a few tools ported from Unix that relied on this convention use a different one in Windows, replacing the '.' with a '_'. So, for example, your Vim settings file will be "_vimrc" instead of ".vimrc" and so on. Seems pretty obvious they did this because at some point in time file/folder names could not start with a dot.
Windows 9x probably had this limitation, and probably still lives on in FAT-based file systems (but I don't have one anywhere to test this assertion, nor do I particularly care about it). However, modern Windows and NTFS have no such limitation. Almost.
See, NTFS certainly let's you create a folder named ".vimfiles" or a file named ".txt" for that matter. You can do so programatically using the standard file handling APIs. You can do it from the command line using mkdir/echo.
But you can't do it using Windows Explorer. For example, Vista and WinServer2k8 will complain that "You must type a filename" if you attempt to name a folder/file with a dot as the first character in the name.
Why Explorer explicitly disallows it, I'm not sure, but seems pretty funky. There are probably thousands of applications or utilities out there that might get confused with a file or folder named like that, though.