Well, the file or folder will exist on disk -- IF it gets created by
sneaking around the Win32 API -- but most (standard) ways of interacting with it (read: anything that uses the Win32 API) won't be able to create it, open it, move it, or delete it. (I believe it may show up as a zero-byte file???)
Windows has plenty of legacy issues surrounding filenames inherited from the DOS days.
Just take a stroll down these Google Search results:
folder ending in a period
Bottom line: not wise to take a dive in the uncharted waters of Windows-land.