You can use CreateDirectory, a Windows API function.
I have never really used it, but I'd imagine that something like this would work:
 It works but that link should be replaced with
#include <stdio.h> //For NULL definition.. I think this is necessary... or is it? Also puts().
int main ()
if (CreateDirectory("C:\\Program Files\\blah", NULL) != TRUE)
puts("Oh no an error :(");