You can use the system.execute() request to send commands from ArcView to the Operating System.
System.Execute("c:\winnt\system32\command.com /c mkdir drive:\pathname")
newDirectory = MsgBox.Input("c:\gis\data", "Create Directory", "")
System.Execute("c:\winnt\system32\command.com /c mkdir"++newDirectory)
You may need to do a Find to determine where command.com is located on your system.
For extended pathnames, make sure the directories preceding the one you want to create already exist.