When using WS_DOWNLOAD,  if the directory exists on the PC then the download is successful.  However, if the directory does not exist then the download fails.  Therefore, you can use GUI_CREATE_DIRECTORY to create the directory at the begining of your ABAP programs.  If the directory or folder already exists on the personal computer, the command will just be ignored.

Tested in 4.6x

REPORT ZGUI_DIR.

call function 'GUI_CREATE_DIRECTORY'
  exporting
    dirname       = 'C:\TEST'
  EXCEPTIONS
    FAILED        = 1
    OTHERS        = 2.

if sy-subrc <> 0.
  WRITE: / 'Error Code ',SY-SUBRC.
endif.

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