You will need to create the Directory first. It will create all of the subdirectories that don't exist within the path you send it. It's quite a powerful piece of functionality.
Directory.CreateDirectory(filePath);
If you don't know whether the directory exists or not you can use Directory.Exists. But not for this case as it would be pointless. MSDN states that CreateDirectory does nothing if the directory currently exists. But if you wanted to check existance of the directory for another reason you can use:
if(Directory.Exists(folder) == false)
{
//do stuff
}