If you use the ChDir statement to try and change to a folder that does not
exist, it will return error number 76.

Hence, if you use the following code, it will create the folder:

On Error GoTo errHandler
ChDir "C:\this folder does not exist"

errHandler:
MsgBox Err.Number
If Err.Number = 76 Then
   MkDir "c:\this folder does not exist"
End If

While not disputing that you CAN do this:

"wanting the script to change directory before writing a file,"

I have to ask why?  In actual fact, ChangeFileOpenDirectory does just that,
change the file OPEN directory.  Yes, you can then save a file to that folder.
..but in a sense, who cares?  You can save a file to anywhere you want,
anyway.

Here is an alternative example with explicit path and filename, and error
handling if the folder does not exist.  You know it has to be the folder path,
as the filename is valid.  It will accept anything really.

myNew.docagshlashlasuwj is a valid filename.

Dim myFile As String
Dim myPath As String
On Error GoTo yadda
myPath = "c:\do-dah\"
myFile = "myNew.doc"
ActiveDocument.SaveAs FileName:=myPath & myFile
yadda:
If Err.Number = 5152 Then  ' there is no c:\do-dah
  MkDir myPath  ' so make c:\do-dah
  ActiveDocument.SaveAs FileName:=myPath & myFile
End If