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.
Tested in 4.6x
call function 'GUI_CREATE_DIRECTORY'
dirname = 'C:\TEST'
FAILED = 1
OTHERS = 2.
if sy-subrc <> 0.
WRITE: / 'Error Code ',SY-SUBRC.
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