Found it!
Add Custom Folder to My Computer or the Desktop
Create your own custom system folder, like "My Documents", that can not be deleted or renamed and place it on the desktop and My Computer.
Create the following series of keys and values in the registry at [HKEY_CLASSES_ROOT\CLSID] or [HKEY_LOCAL_MACHINE\SOFTWARE\Classes\CLSID]. The GUID, globally unique identifier, can be a random number, in this example "FD4DF9E0-E3DE-11CE-BFCF-ABCD1DE12345" is used. See this article for more GUID examples.
1. Create a new key called [HKEY_CLASSES_ROOT\CLSID\{FD4DF9E0-E3DE-11CE-BFCF-ABCD1DE12345}] and set (Default) to equal the name of the folder e.g. "My Folder".
2. Create a new sub-key under the main key called "DefaultIcon" (i.e. [HKEY_CLASSES...ABCD1DE12345}\DefaultIcon]) and set (Default) to equal the filename for the icon you want to display e.g. "c:\windows\myicon.ico".
3. Create a new sub-key under the main key called "InProcServer32" (i.e. [HKEY_CLASSES...ABCD1DE12345}\InProcServer32]) and set (Default) to equal "shell32.dll", also create a new String value called "ThreadingModel" and set it to "Apartment".
4. Create a set of sub-keys starting at the main key "Shell\Open My Menu\Command" (i.e. [HKEY_CLASSES...ABCD1DE12345}\Shell\Open My Folder\Command]) and set (Default) to equal the command to execute when clicked, in this case explorer, e.g. "explorer /root,c:\MyFolder". Change "Open My Folder" to command to display and "c:\MyFolder" to the directory you want to use.
5. Create a set of sub-keys starting at the main key "ShellEx\PropertySheetHandlers\{FD4DF9E0-E3DE-11CE-BFCF-ABCD1DE12345}" (i.e. [HKEY_CLASSES...ABCD1DE12345}\ShellEx\PropertySheetHandlers\{FD4DF9E0-E3DE-11CE-BFCF-ABCD1DE12345}])
6. Create a new sub-key under the main key called "ShellFolder" (i.e. [HKEY_CLASSES...ABCD1DE12345}\ShellFolder]) and create a new Binary value called "Attributes" and set it to "00 00 00 00".
7. To place the folder (which is now a system folder) on the desktop add the following key:
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\
Explorer\Desktop\NameSpace\{FD4DF9E0-E3DE-11CE-BFCF-ABCD1DE12345}]
8. To also place it in My Computer create this key:
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\
Explorer\MyComputer\NameSpace\{FD4DF9E0-E3DE-11CE-BFCF-ABCD1DE12345}]
Now the folder cannot be deleted from the desktop or My Computer, nor can it be renamed other than removing the CLSID and the entries under NAMESPACE.