Thanks for the fast reply.
Actually it was quite easy. I copied part of a text from a web-page I wanted to use as folder name and it still had a space at the end when I pasted it to the input field of Windows Explorer. Usually Explorer would automatically cut off that space at the end, but not this time. It might have included some kind of invisible control character or something like that.
When trying to move files to that folder short after creating, Windows Explorer said that the folder is not present on the drive anymore. After refreshing with F5 I suddenly had two folders with the same name, one with the space at the end and one without, and the moved files ended up in the folder without space at the end.
I think some windows libraries for file management just do not pass over or process the whole folder name with space. So they end up trying to move/rename/delete a folder with the same name just without the space at the end, which of cause is not present on the drive, since you can still create a new folder with the same name without space at the end and by right clicking and selecting delete on the folder with space at the end you end up deleting the one without space.