As of JMP 9, you can use JSL to create and delete directories directly. It didn't make it into the scripting index unfortunately.
Create Directory("c:\temp2");
Delete Directory("c:\temp2");
Also, just for completeness, the kernel32 object mentioned in the post by MattF refers to functions he's explicitly defining in JSL whichmap to features exposed from DLLs in the OS from the file kernel32.dll.
The Microsoft Developer Network web site documents the functions available (http://msdn.microsoft.com/en-us/library/windows/desktop/aa363915(v=vs.85).aspx) from Windows itself but you need to translate the parameters into the JSL definitions so a bit of programming knowhow is required.
There is an API for deleting a folder/directory called RemoveDirectory: http://msdn.microsoft.com/en-us/library/windows/desktop/aa365488(v=vs.85).aspx but the caveat here is that the directory must be empty. There is another more advanced funciton to recursively delete the files and directories called SHFileOperation() but it looks like a beast to create the appropriate JSL.
John