Try the following modifications:

Code:
Public Sub DownloadFile(ByRef sURL As String, ByRef sFilePath As String)
    Dim bytData() As Byte
    Dim FN        As Integer
    Dim sDir      As String

    bytData() = Form1.inetDownload.OpenURL(sURL, icByteArray)

   'Extract the path component of the fully-qualified file path
    sDir = Left$(sFilePath, InStrRev(sFilePath, "\") - 1&)

    If Not PathExists(sDir) Then
        MkDirEx sDir '<-- Click this
    ElseIf FileExists(sFilePath) Then
        Kill sFilePath
    End If

    FN = FreeFile
    Open sFilePath For Binary Access Write As FN
        Put #FN, , bytData()
    Close FN
End Sub

Public Function FileExists(ByRef sFile As String) As Boolean
    On Error Resume Next
    FileExists = (GetAttr(sFile) And vbDirectory) <> vbDirectory
End Function

Public Function PathExists(ByRef sPath As String) As Boolean
    On Error Resume Next
    PathExists = (GetAttr(sPath) And vbDirectory) = vbDirectory
End Function
You may also want to check out the URLDownloadToFile API function. Search this forum for examples of using it.