Hi Sudeep,
CON, PRN, AUX, NUL, COM1, COM2, COM3, COM4, COM5, COM6, COM7, COM8, COM9, LPT1, LPT2, LPT3, LPT4, LPT5, LPT6, LPT7, LPT8, and LPT9 these are all system reserved names, you can not use these name to create folder/file.
I would suggest you to visit msdn site to know more about the Naming Files, Paths, and Namespaces etc.,
http://msdn.microsoft.com/en-us/library/aa365247(VS.85).aspx