1) Right click on desktop and choose "create new text document"
2) Press F2 to rename the document "allowhc.reg" or something similar (make sure that you're not naming it ".reg.txt" or something silly to that extent)
3) Right click on that file and choose "edit"
4) Copy and paste the below into it, then save changes;
Windows Registry Editor Version 5.00

[HKEY_CURRENT_USER\Software\Blizzard Entertainment\Diablo II]
"AllowHardcore"=dword:00000001
5) Double click on the file, select yes you do want to add the information, and OK afterwards
6) Proceed to create HC characters at your leisure