You are best off checking if the folder exists, via some .Net code, before you try to write the file. Otherwise, you will end up with warnings(and eventually a failure) indicating that the folder does not exist. Now there are ways through Delivery Notification to catch these type of failures then create the folder after it has errored out, but it is just easier to do this work before hand.
If by chance you are using FTP, check this link: http://kentweare.blogspot.com/2008/04/ftpwebrequest-class-creating-remote.html