After a lot more searching, I found just what I wanted in thread 222-265528 posted by Justin Ezequiel,
you just pass the full path of all the folders you need creating :
Call BuildPath("C:\Folder1\Folder2\Folder3"
Private Function BuildPath(ByVal sPath As String) As Boolean
Dim oFSO
Dim oDrive
Dim sDrive As String
Dim sParent As String
On Error GoTo ERRHANDLER
Set oFSO = CreateObject("Scripting.FileSystemObject"

If oFSO.FileExists(sPath) Then
MsgBox "File '" & sPath & "' exists"
Else
sDrive = oFSO.GetDriveName(sPath)
If oFSO.DriveExists(sDrive) Then
Set oDrive = oFSO.GetDrive(sDrive)
If oDrive.IsReady Then
If Not oFSO.FolderExists(sPath) Then
sParent = oFSO.GetParentFolderName(sPath)
If oFSO.FolderExists(sParent) Then
oFSO.CreateFolder sPath
BuildPath = True
Else
If BuildPath(sParent) Then
oFSO.CreateFolder sPath
BuildPath = True
End If
End If
Else
BuildPath = True
End If
Else
MsgBox "Drive '" & sDrive & "' is not ready"
End If
Set oDrive = Nothing
Else
MsgBox "Drive '" & sDrive & "' does not exist"
End If
End If
Set oFSO = Nothing
Exit Function
ERRHANDLER:
MsgBox "Building path '" & sPath & "'" & vbCrLf & _
Err.Description
End Function