Just use the API MakeSureDirectoryPathExists from the imagehlp.dll library.
It accepts one parameter, the path. The path has to have a trailing \ to be successful. This function will create any directories needed.
Example:
code:
Interop.Call('imagehlp.dll', 'MakeSureDirectoryPathExists', 'C:\\this\\is\\a\\path\\to\\be\\created\\');
http://msdn2.microsoft.com/en-us/library/ms680352.aspx