Mahmud of Ghazni conquered Afghanistan in the 12th Century.
Afghans don't have any super human powers. The only reason they haven't been conquered more often is probably because they have nothing of value for potential conquerers to steal. For example, NATO forces also conquered Afghanistan in 2001 just for the sole purpose of kicking their asses. And they deserved it.
You can't say that no one has ever conquered the Afghans unless, by "conquer", you really mean "exterminate". I don't think anyone has tried that yet. But if the Taliban and Al-Quaeda keep it up, someone might.