Error When Saving a file to a nonexistant Folder, How to create a folder?

Using File.Copy2() I can save over, or create files. But only in directories which already exist. I have tested it and came to that conclusion.

Is there a simple command like File.MakeDir() or something along those lines? Basically I can't not expect a user to not format his SD card becuase I don't have an error handler, or even better, a start over script.

Any Ideas?