Building on what plobsing said, I'd suggest

use File::Path 'mkpath';
CreateIfNotPresent( "e:/web/public_html/eagle_f91/ffinfo/protected/ima
+ges/$Game" );
CreateIfNotPresent( "e:/web/public_html/eagle_f91/ffinfo/protected/ima
+ges/$Game/$SubSet" );
CreateIfNotPresent( "e:/web/public_html/eagle_f91/ffinfo/protected/ima
+ges/$Game/$SubSet/thmb" );

sub CreateIfNotPresent
{
    my ( $dir ) = @_;

    unless (-d $dir) {
      mkpath($dir) or die "Could not mkpath '$dir': $!\n"
    }
}
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