sorry I probably should have explained better.
The directory mentioned is not a directory somewhere on your disk, but rather a location in ReportServers internal fileserver module (stored in the database).
You access it via ReportServers web interface.
(If the directory does not yet exist, you might have to create it)
to give you a heads up. We have just released ReportServer 2.1 which includes a workaround for older jdbc drivers.
Let us know if you need further help.