I don't understand. The JNLP file doesn't do anything, it just describes the application. You can read its specs for yourself and find there isn't anything about creating folders there.
But really I don't understand the requirement. What would you expect to happen, and when would you expect it to happen? Every time the application is downloaded? Every time the JNLP file is accessed, even if that doesn't result in a new download?
And why can't you just have your application create this folder?