Normally you have to have a name for an icon, just spaces are not allowed.
To create an icon with no name attached:

Make sure NumLock is on
Highlight the Icon you want to change
Right-Mouse click and select Rename
While holding down the Alt key, type 0160
Now the icon will have no name below it.
To Create Multiple Icons with No Name - From John R.

Follow directions detailed above
With the second icon simply add one space-bar character AFTER the 0160 number.
Each successive icon gets an additional space-bar character at the end (to prevent a duplicate naming error).