I'm not sure if I'm using the correct terminology. Say, the SkyDrive app from Microsoft creates a virtual "Skydrive" folder on a local computer. What I'm curious to know is how to add such virtual folder with C++/MFC?
That is not a virtual folder. It is a system folder made by PathMakeSystemFolder, so the system knows you have some customization going on in desktop.ini. Skydrive merely customized the folder's icon.
Reference: How to Customize Folders with Desktop.ini (Windows)