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Make directories in Windows:

Source-SAS Technical Support

filename sascbtbl temp;
data _null_;
infile cards;
file sascbtbl;
input;
put _infile_;
cards4;
Routine CreateDirectoryA
 minarg=2
 maxarg=2
 stackpop=called
 module=kernel32
 returns=long;
arg 1 input        format=$cstr20.;
arg 2 input        format=pib4.; 
;;;;

%macro repeat;
  %do i=1 %to &end;
   data _null_;
    length dir $20;
    x "cd <dir>:<folders>";
    dir="<dir>:%str(&&dlr&i)";
    u = modulen("kernel32,CreateDirectoryA",dir,1);
    put u= dir=;
  run;
%mend repeat;