You can create a directory in Java using new File("path"+File.seperator+"foldername").mkdir()
I assume you are aiming to create it within your war folder in web app. This is not a recommended approach, because you will loose user data if you redeploy your war.
Better approach is have a repository path configured into your application using a System property
For eg: repository=D:\userdata
And create your folders within this repo.Then you may need a custom servlet to allow download of this files, you will have to read the file and put it in servlet response. This folder wont be affected by redeployment of war file.
Even this approach is wrong as you cannot scale to multiple appservers in this approach, It is always better to store user data in a central repository(amazon s3, rackspace files), or in a database.