You have to name it with a period at the front. It will make the file or folder invisible. You can't do it from the Finder. It won't let you. You have to do it from another program. For example GameMaker can save files that way using the FILEIO commands.
To find the file to make it visible again, you have to do a FIND using Other and check the visibility option. That will show invisible files.
This is in OS X.
