Interestingly, Windows
mkdir has the capability to create any intermediate directories on your behalf - meaning that simply
my $path = "c:\\a\\b\\c\\d"
system "mkdir $path";
should work as requested by the OP. Apparently,
mkdir requires "command extensions" to be enabled to work in that way, whatever
they are, but they're apparently (so say Microsoft) enabled by default for processes running under Windows XP anyway, which I presume extends to the Perl interpreter.
<sarcasm>Who needs cross-compatibility, anyway?</sarcasm> *grin*