Could you be a little more specific about your question? Are you just asking how to create a directory in Windows? Does your question relate to LabVIEW in any way?
When you are speaking about the "help notes" are you talking about this Help excerpt? If so, it is only saying that you need to make sure that the installer actually exists in the location listed under "Installer Source Location" in the Additional Installer section of the installer build specification. Typically users install their device drivers from a CD in their CD drive, so if that is the case, the source location will be their CD drive, and they will need to make sure to have the proper device driver CD inserted into the CD drive before building the installer.
When choosing driver installers to include with your EXE installer, LabVIEW will look at whatever location you originally installed the driver from. If you want to prevent from having to load up CDs during this process, then before you install your device drivers, you should copy the contents of the associated CDs to your hard drive and install from there. Then you will have a copy of the device driver installers on your hard drive where LabVIEW will go to when including them in EXE installers.