new java.io.File("MyNewDirectoryName").mkdir();
And it returns a boolean status, if you want to know if it was successful.
new java.io.File("MyNewParentDirectory/MyNewDirectoryName").mkdirs();
To create the parents as necessary. Also returns a status.
I did a quick Google search for "Java Swing select directory" and came up with this link:
http://www.rgagnon.com/javadetails/java-0370.html
'course, I don't like how that feels m'self so I implemented a directory chooser in the form of a tree. :-P But that's not quite as simple. Cheers!