Update: Just after having created this utility, I found this over at serverfault. It turns out you can create dot-files (and folders) by simply adding an extra dot at the end when you rename it. For example ".htaccess." will result in the file .htaccess being created and the "You must type a file name"-dialog is never shown. So my utility isn't needed anymore! I'll leave it around if you want to get it anyway.
In the attached images, you see how create dot-file works. The first image shows the error "You must type a file name" from Windows Explorer when you try to create a dot-file by creating a new text document and renaming it. The other images shows the new context menu item, the program dialog and the end result - a successfully created dot-file.
It is written for .NET Framework 4.0 Client Profile and has been tested on Windows 7 Professional.