It is bad practice to write files into the install directory of your game. On Windows this will require the game to be run with admin rights for anyone who installs to the usual Program Files directory. Your game should take care of creating directories inside the user account folder at runtime.
In any case, it is good practice to make sure a directory exists before trying to write a file there. You never know when a user might think it is OK to delete their save game directory to reset the game for example.