The -cd (create directory) option on globus-url-copy will create the directory
if it is immediately under an existing directory, but not if there is more than
one layer missing in the tree. 

Example (/tmp exists, but /tmp/a does not, nor does /tmp/a/b):

allcock@gridftp:~> guc -p 1 -cd file:///home/allcock/junk
gsiftp://localhost/tmp/a/b/

error: globus_ftp_client: the server responded with an error
500 500-Command failed. : globus_l_gfs_file_open failed.
500-globus_xio: Unable to open file /tmp/a/b/junk
500-globus_xio: System error in open: Not a directory
500-globus_xio: A system call failed: Not a directory
500 End.

allcock@gridftp:~> guc -p 1 -cd file:///home/allcock/junk gsiftp://localhost/tmp/b/
allcock@gridftp:~> guc -p 1 -cd file:///home/allcock/junk
gsiftp://localhost/tmp/b/a/
allcock@gridftp:~>