I found this on vbhelper:

vb Code:
  1. Declare Function MakeTree Lib "imagehlp.dll" Alias _
  2.     "MakeSureDirectoryPathExists" (ByVal lpszPath As _
  3.     String) As Long
  4.  
  5. ' Create the complete directory path.
  6. Private Sub MakePath(ByVal path As String)
  7. Dim directories As Variant
  8. Dim i As Integer
  9. Dim new_dir As String
  10. Dim dir_path As String
  11.  
  12.     ' Break the path into directories.
  13.     directories = Split(path, "\")
  14.  
  15.     ' Build the subdirectories.
  16.     For i = LBound(directories) To UBound(directories)
  17.         ' Get the next directory in the path.
  18.         new_dir = directories(i)
  19.  
  20.         ' Make sure the entry is non-empty.
  21.         If Len(new_dir) > 0 Then
  22.             ' Add the new directory to the path.
  23.             dir_path = dir_path & new_dir & "\"
  24.  
  25.             ' Make sure we don't just have a drive
  26.             ' specification.
  27.             If Right$(new_dir, 1) <> ":" Then
  28.                 ' See if the directory already exists.
  29.                 If Dir$(dir_path, vbDirectory) = "" Then
  30.                     ' The directory doesn't exist.
  31.                     ' Make it.
  32.                     MkDir dir_path
  33.                 End If
  34.             End If
  35.         End If
  36.     Next i
  37. End Sub

Although, I'm not sure if it does what you are talking about?