Browsers don't allow you to download folders. A user can only set the default download location in their browser (but this cannot be controlled via Mendix). What you can do, is put the PDF file in a zip file, which can contain folder structures. The user can then choose to extract the zip file where they wish, and the folder structure inside the zip file will be maintained.
Thanks Nikolaus , I haved Adapted the Java Code for creating a Folder Structure . And am able to create folder Structure Successfully. But not able to store the PDF in it. How can I save a PDF file from Mendix Application to a Folder Structure?