It's possible, but not with built in FileMaker Tools:
1) Create a system script or batch file that creates the desired folder. You can create such a script as text in a text field (so you can specify a folder name), export the field contents to generate the needed file, then use Send Event to open and execute the system script. apple script, VBScript and batchFiles are all possible tools for this. (And yes, they are operating system specific so sometimes you need scripts that generate different files depending on the current OS in use.)
2) Acquire a Plug in from a third party developer that can create folders. There are several that can do this. Last time I check, one MooPlug, could do this for windows systems and was free. The downside to using plug ins is that they can "break" when the OS or FileMaker is upgraded and there is no guarantee that the third party developer will release an update should such happen.