Only the actual libraries are created in Kicad.
The Folders:
Your Mixed/
__________3D/
__________Footprints/
__________Symbols/
need to be created with your OS.
This FAQ explains all (I hope 
)
If you have any problems please ask.
Edit, just to clarify more:
You will notice in the FAQ, I first selected D drive to place my libraries.
I then created a Folder titled Kicad Personal Libraries.
I then created 3 folders in the Personal Libraries folder and titled these 3D, Footprints & Symbols.
After these are created with your OS, the Kicad Libraries are created with Kicad and placed in their appropriate Folders.