Did you know that you can create Folders with T-SQL? With the help of the built-in Extended Stored Procedure named xp_create_subdir you can. Here is a small example:
DECLARE @DBName nvarchar(100)
DECLARE @Folder nvarchar(100)
SET @DBName = 'TestDB'
SET @Folder = 'C:\TestFolder\' + @DBName
EXEC master.dbo.xp_create_subdir @Folder
It goes without saying that you need to ensure that the correct permissions are set up in your SQL environment.