You cannot create a folder, but you can create a shortcut file and do this
1. Right click on an open area of the desktop
2. Select New / Shortcut
3. Enter in command as "shutdown -s -t 00" [for windows xp] ,- no quotes and "c:\windows\rundll.exe user.exe,exitwindows" -no quotes [for windows 98]
4. Press the Next button
5. For the name, enter in anything you like. Click on the Finish button.