For example, Desktop of Windows (XP, Vista, 7) merged contents of 2 folder (All Users\Desktop and Current User\Desktop)
How to create a folder like this? That display the contains of both 2 different folders?
I'm using Windows XP SP3
You can't. That's functionality of the shell (Windows Explorer) for certain special folder, such as the start menu and the Desktop. It was never meant (and is not) a general tool for merging multiple folders into one view.
As heavyd noted, that's what Windows 7's Libraries are for. They are designed for that.
If you are using Windows 7 you can use the libraries feature to do exactly this.