How do I recursively create a folder in Win32?

If you don't need to support Windows versions prior to Windows 2000, you can use the SHCreateDirectoryEx function for this. Consider this:

int createDirectoryRecursively( LPCTSTR path )
{
    return SHCreateDirectoryEx( NULL, path, NULL );
}

// ...
if ( createDirectoryRecursively( T("C:\\Foo\\Bar\\Baz") ) == ERROR_SUCCESS ) {
   // Bingo!
} 

In case using such shell32.dll API ever becomes an issue, you can always reimplement the createDirectoryRecursively function above with something else (possibly a hand-wired loop).

Here's a version that works with no external libraries, so Win32-only, and that function in all versions of Windows (including Windows CE, where I needed it):

wchar_t *path = GetYourPathFromWherever();

wchar_t folder[MAX_PATH];
wchar_t *end;
ZeroMemory(folder, MAX_PATH * sizeof(wchar_t));

end = wcschr(path, L'\\');

while(end != NULL)
{
    wcsncpy(folder, path, end - path + 1);
    if(!CreateDirectory(folder, NULL))
    {
        DWORD err = GetLastError();

        if(err != ERROR_ALREADY_EXISTS)
        {
            // do whatever handling you'd like
        }
    }
    end = wcschr(++end, L'\\');
}