Try like this it will create a folder in the sd card
String root = Environment.getExternalStorageDirectory().toString();
File myDir = new File(root + "/hello_world");
myDir.mkdirs();
If you want to check that file exists or not use this code
File file = new File (myDir, file_name);
if (file.exists ())
// file exist
else
// file not exist
For reference look at this answer Android saving file to external storage