C# Updater (Using Webclient)

Question

What I wanna know is how would I use the WebClient object to download files to a possibly nonexistent directory automatically?

like for instance:

 WebClient downloader = new WebClient();

downloader.DownloadFileASync(new Uri("http://127.0.0.1/Updates/Data/dlme.txt"), "/Data/dlme.txt"); // Second argument needs help.

I was wondering how I would be able to download to the /Data directory even though it may be nonexistent... would I have to go through a lengthy process or what?