Newbie - Directory/File Creation

[Michael J Whitmore]

If I do the following, a file is created in the current working
directory:
    TestFile = open("TestTest.out", 'w') 

My question is how to create a file that includes a pathname without
having to mkdir beforehand.
    Example:
    TestFile = open("TestDir\TestTest.out", 'w')

Shouldn't open be smart enough to create the TestDir directory before
creating TestTest.out   ?

Is there another command that will do this?