One way to do this is to type Alt+0160 where the digits are entered from the numeric keypad. The number 0160 is the decimal value matching the Unicode code point for this character.
Microsoft has a page on entering characters using this method here:http://www.microsoft.com/resources/documentation/windows/xp/all/proddocs/en-us/lang_char_code_input.mspx?mfr=true
Microsoft does not state this (in so many words) but you can really only use this method for entering characters with code point values up to decimal 255. For other characters (or for those you do not know the number for) you can use an IME
or the Windows Character Map tool (charmap.exe).