SQL Server has some standard stored procedures that allow OLE automation.
First step, is to check whether Ole Automation Procedures are enabled in SQL Server or not ? It can be enabled by simply executing below T-SQL commands.
T-SQL to enable Ole Automation Procedures in SQL Server
sp_configure 'show advanced options', 1; GO RECONFIGURE; GO sp_configure 'Ole Automation Procedures', 1; GO RECONFIGURE; GO
Next step is to create a stored procedure, which will use an OLE Automation procedures and create a folder on system drive