Which, if any, folders do I need to create before

The path to the project I need to check out is displayed in the TFS Source Control Explorer this way:

Handheld
    Development
        Development
            HDP
                HDP

Or, in the "Source location:"this way: $/Handheld/Development/Development/HDP/HDP

The code that I need to check out and work on is in that last folder. So what do I need to do before right-clicking that second "HDP" folder and selecting "Get Latest Version"? IOW, do I need to create an empty folder or folders first for TFS to find, or will it create those as necessary?

The source for the other project I currently work on via TFS lives in the TLD folder (and subfolders) here:

C:\Project\ccr\TLog\Development\Development\TLD

...and this is represented in TFS thusly:

TLog
    Development
        Development
            TLD

($/TLog/Development/Development/TLD)

So do I need to add "Handheld\Development\Development\HDP\HDP" folders below C:\Project\ccr\ prior to doing the checkout, so that I check out into this:

C:\Project\ccr\Handheld\Development\Development\HDP\HDP

UPDATE

Martin's answer worked like a champ -- it did just what he said it would (created the necessary subfolders); however, I have two problems now (the first one is that this is a VB project, and I have up until now successfully avoided ever touching VB, and so feel something like a "deflowered" maiden at the moment ... but I'll let that go); the more pressing problem is that when I went to open the solution, I got, "This plugin is intended for older version [sic] of Visual Studio. Please use Team Explorer."

What the Deuce McAllister?!? This must not be a "polished" plugin, because the word "version" is singular where it should be plural. Can I safely ignore this?

UPDATE 2

"Dang it!" as Kip Dynamite so famously whined. I already had this problem, as a search for the err msg turned up (How can I force VS2010 to stop using an outdated plugin?); and not only do I not recollect what I did to solve it back then, I don't even really recall asking it. If it weren't for a bad memory, I'd have no memory A tall.

You could just map $/Handheld to C:\Project\ccr\Handheld and then get what you want and it will create folders locally as needed. If there is stuff under $/Handheld that you don't want then you could cloak it.