EJB spec explicitly indicates that (section 24.1.2 Programming restrictions):
An enterprise bean must not use the java.io package to attempt to access files and directories in the file system. The file system APIs are not well-suited for business components to access data. Business components should use a resource manager API, such as JDBC, to store data.
Therefore, I would not recommend to put your "file directory creation" code in ejb (eg, mdb).
What about Servlets? Do they have such restriction?