When do you want to create the directory?
At build system generation
To create a directory when CMake generates the build system,
file(MAKE_DIRECTORY ${directory})
At build time
In the add_custom_command() command (which adds a custom build rule to the generated build system), and the add_custom_target() command (which adds a target with no output so it will always be built), you specify the commands to execute at build time. Create a directory by executing the command ${CMAKE_COMMAND} -E make_directory. For example:
add_custom_target(build-time-make-directory ALL
COMMAND ${CMAKE_COMMAND} -E make_directory ${directory})
At install time
To create a directory at install time,
install(DIRECTORY DESTINATION ${directory})