fs.mkdir can able to built only a single folder. You are trying to create a folder inside a non existing folder. This problem can be solved by fs-extra module of npm. Following code should fulfill your need.
var setFile = 'dijit/analysis/images/',
fsExtra = require('fs-extra'),
folders = setFile.substr(0, setFile.lastIndexOf('/'));
fsExtra.mkdirp(folders, function(err) {
console.log('problem: ' + err);
});