I think you have to get the correct path first, and then check. Ive used this in the past on IIS7, and have not had any problems.
Dim DataLocation As String = httpContext.current.Server.MapPath("~/App_Data")
Dim App_Data As New IO.DirectoryInfo(DataLocation)
If Not App_Data.Exists Then
Dim DirInfo As System.IO.DirectoryInfo
DirInfo = System.IO.Directory.CreateDirectory(DataLocation)
DirInfo = Nothing
End If