Code:
Option Explicit

Private Type WIN32_FIND_DATA    'Modified UDT
    dwFileAttributes As Long
    ftCreationTime   As Currency
    ftLastAccessTime As Currency
    ftLastWriteTime  As Currency
    nFileSize        As Currency
    dwReserved       As Currency
    cFileName(519)   As Byte
    cAlternate(27)   As Byte
End Type

Private Declare Function FindClose Lib "kernel32.dll" (ByVal hFindFile As Long) As Long
Private Declare Function FindFirstFileW Lib "kernel32.dll" (ByVal lpFileName As Long, ByRef lpFindFileData As Any) As Long
Private Declare Function QueryPerformanceCounter Lib "kernel32.dll" (ByRef lpPerformanceCount As Currency) As Long
Private Declare Function QueryPerformanceFrequency Lib "kernel32.dll" (ByRef lpFrequency As Currency) As Long
Private Declare Sub Sleep Lib "kernel32.dll" (Optional ByVal dwMilliseconds As Long)

Private Sub Main()
    Const FILE1 = "C:\\\\\Windows\/\/\System32/////msvbvm60.dll"
    Const FILE2 = "C:\\\\\Windows\/\/\System32/////msvbvm70.dll"
    Dim RV As Boolean, i As Long, Iterations As Long, sRetVal As String
    Dim StartAPI As Currency, StopAPI As Currency, Freq As Currency
    Dim StartDIR As Currency, StopDIR As Currency

    MsgBox "FILE1 = """ & FILE1 & """" & vbNewLine & _
           "FileExistsAPI(FILE1) = " & FileExistsAPI(FILE1) & vbNewLine & _
           "FileExistsDIR(FILE1) = " & FileExistsDIR(FILE1) & vbNewLine & vbNewLine & _
           "FILE2 = """ & FILE2 & """" & vbNewLine & _
           "FileExistsAPI(FILE2) = " & FileExistsAPI(FILE2) & vbNewLine & _
           "FileExistsDIR(FILE2) = " & FileExistsDIR(FILE2), vbInformation, "FileExists"

    Do: sRetVal = InputBox("Loop how many times?", "FileExistsAPI vs FileExistsDIR", "500,000")
        If StrPtr(sRetVal) = 0& Then Exit Sub    '  Abort benchmark if canceled
        On Error Resume Next
        Iterations = CLng(sRetVal) - 1&
    Loop While Err

    If QueryPerformanceFrequency(Freq) Then
        Sleep
        QueryPerformanceCounter StartAPI
            For i = 0& To Iterations
                RV = FileExistsAPI(FILE1)   'Existing
                RV = FileExistsAPI(FILE2)   'Missing
            Next
        QueryPerformanceCounter StopAPI

        Sleep
        QueryPerformanceCounter StartDIR
            For i = 0& To Iterations
                RV = FileExistsDIR(FILE1)   'Existing
                RV = FileExistsDIR(FILE2)   'Missing
            Next
        QueryPerformanceCounter StopDIR

        MsgBox FormatNumber(Iterations + 1&, 0&) & " Iterations" & vbNewLine & vbNewLine & _
               "API = " & Round((StopAPI - StartAPI) / Freq, 3&) & " secs" & vbNewLine & _
               "DIR = " & Round((StopDIR - StartDIR) / Freq, 3&) & " secs", vbInformation, _
               "FileExistsAPI vs FileExistsDIR"
    End If
End Sub

Public Function FileExistsAPI(ByRef sFileName As String) As Boolean
    Dim WFD As WIN32_FIND_DATA

    If LenB(sFileName) Then _
        If FindClose(FindFirstFileW(StrPtr(sFileName), WFD)) Then _
            FileExistsAPI = (WFD.dwFileAttributes And vbDirectory) <> vbDirectory
End Function

Public Function FileExistsDIR(ByRef sFileName As String) As Boolean
    Const FILE_ATTRIBS = vbArchive Or vbHidden Or vbReadOnly Or vbSystem

    If LenB(sFileName) Then FileExistsDIR = LenB(Dir(sFileName, FILE_ATTRIBS)) <> 0&
End Function
Code:
Vista    500,000x
-----------------
API = 75.787 secs
DIR = 88.540 secs


Win 7    500,000x
-----------------
API = 86.682 secs
DIR = 99.917 secs

Verdict: API rules!


Exe optimized for Fast Code with all Advanced Optimizations on. Both benchmarks performed in Safe Mode with Command Prompt. Process boosted to Realtime priority. Tested with both Vista and Win 7 on the same machine.