Code:
Private Sub CreateFolder()
        Dim xlSheet As Object = CType(xlApp.Worksheets("Form"), Excel.Worksheet)
        Dim YourPath As String = IO.Path.Combine("\\frtstpr-dna203a\tou5\Example_Design\11_SSBD\01_SSBD_Lcl_ad_open\Improvements\" + xlSheet.cells(6, 2).value.ToString + xlSheet.cells(6, 3).value.ToString + xlSheet.cells(6, 4).value.ToString)

        Try
            If (Not System.IO.Directory.Exists(YourPath)) Then
                System.IO.Directory.CreateDirectory(YourPath)
            End If
messagebox.show(YourPath & ".xlsm") '<--- new! what is the path that is shown? maybe not what you expect? post the result.
            My.Computer.FileSystem.CopyFile( _
    "\\frtstpr-dna203a\tou5\Example_Design\01_SSBD\01_SSBD_Lcl_ad_open\Improvements\TR tracker\TR_Template_Draft_01.xlsm", _
    YourPath & ".xlsm", overwrite:=False)
        Catch ex As Exception
            MsgBox(ex.Message)
        End Try

    End Sub