Create the download folder if it doesn't exist. That is, the actual download ...

chrome/browser/download/save_package.h

Index: chrome/browser/download/save_package.h
===================================================================
--- chrome/browser/download/save_package.h	(revision 27115)
+++ chrome/browser/download/save_package.h	(working copy)
@@ -130,6 +130,7 @@
   int tab_id() const { return tab_id_; }
 
   void GetSaveInfo();
+  void ContinueGetSaveInfo(FilePath save_dir);
   void ContinueSave(SavePackageParam* param,
                     const FilePath& final_name,
                     int index);
@@ -199,6 +200,9 @@
   SavePackage(const FilePath& file_full_path,
               const FilePath& directory_full_path);
 
+  // Notes from Init() above applies here as well.
+  void InternalInit();
+
   void Stop();
   void CheckFinish();
   void SaveNextFile(bool process_all_remainder_items);