I depends on the setup framework you are using. The answers would be very different.
I don't advise you to do so. First, there are standard places where you can write data generated by your application. Please see my past answer:
How to find my programs directory[
^].
Also, there is a standard method of logging:
http://msdn.microsoft.com/en-us/library/system.diagnostics.eventlog.aspx[
^].
Essentially, the problem is this: the directory you are going to create and use is illegal for newer Windows versions, Windows 7 and later (I don't want to mention Vista, consider it failed). Therefore, you would need to take care about making it writable, by modification of its permission in the installer. If you use the approaches standardized in Windows, you won't need it and hence the creation of the directory would be put in the code of application itself, where it truly belongs. You would create this directory when you are writing the very first log. As simple as that.
—SA