Here are the steps for creating folders:
Go to your C: drive by opening Windows Explorer or the My Computer icon on your desktop. Create a new folder in your C: drive and name it NHANES.
Double-click the NHANES folder and create the DOWNLOAD folder inside it. This folder will store your SAS transport files and documentation. If you follow this structure, the path to your transport files and documentation will be C:/NHANES/DOWNLOAD.
Return to the NHANES folder and create another folder inside it called DATA. This folder will store your extracted SAS datasets and act as your permanent SAS library. If you follow this structure, the path to your library will be C:/NHANES/DATA.