There's a built-in MkDir statement.
From the Help file:
MkDir path
The required path argument is a string expression that identifies the
directory or folder to be created. The path may include the drive. If no
drive is specified, MkDir creates the new directory or folder on the current
drive.
Note that you can only create a single level of folder at a time. For
example, if you want C:\Folder1\Folder2\Folder3, and only C:\Folder1 exists,
you must use:
MkDir C:\Folder1\Folder2
MkDir C:\Folder1\Folder2\Folder3