It's one of the folders that forms part of the FrontPage site management system and in some cases gets used as part of the FP extensions directory structure.
Anything that can be squirrelled away in your web that FrontPage thinks you don't need to see because it manages it for you gets dumped into one of several folders starting with an underscore. There will be several such folders in any typical FP web, like _private, _vti_cnf, and _vti_pvt and so on.
Depending on how much you get FP to do for you, in terms of form processing or other duties where FP extensions are called upon, you can, in theory, delete the folders without mishap.
However, since FP creates these folders to hold files that it uses to help it/you manage your web, I always suggest that people leave well alone and maintain their presence.
It very much depends on how much you are getting FP to do for you since minimal or no use of extensions for forms, rollover buttons and similar could well allow you to safely delete the folders.
Being a lazy hack, I just leave them.
If it ain't broke...