Use the "Insert From URL" script step to insert the result of your URL into a text field.
Then you can check the text field for validity.
Go To Record [ first ]
Insert From URL [ table::result ; table::URL ]
If [ PatternCount( table::result ; "some error indicator" ) > 0]
Show Custom Dialog [ this is not a valid URL ]
Go To Record [ next ; exit after last ]
Do you mean you are using file: URL targeted to a folder saying "all of the records in our database have folders" ?
Yes, I realized that the original answer will not work. I will try the plug-in. I was fairly certain others had had this problem.
I think you need to create folder if not exist. So you don't need to check existance, simply create it using MD command.