Great! I'll also add a method for JMP 8 users:
kernel32 = LoadDLL("kernel32");
kernel32 << DeclareFunction( "CreateDirectoryW",
Convention( STDCALL ),
Alias( "CreateDirectory" ),
Arg( UnicodeString(260), "Path"), // The directory to create
Arg( IntPtr, ""), // Security descriptor. 0 = default
Returns( int32 )
);
baseDir = "C:\temp\";
dir = baseDir || Substitute(MDYHMS(Today()), "/", "-", ":", ".");
kernel32 << CreateDirectory(dir,0);