An easier approach (than using raw Win32 API MultiByteToWideChar) would be to use ATL conversion helpers, like CA2CW. You can specify CP_UTF8 as code page (second parameter in the constructor), to convert from Unicode UTF-8 to Unicode UTF-16:
CreateDirectoryW(
CA2W( utf8Name, CP_UTF8 ) // convert from UTF-8 to UTF-16
... // other stuff
);
Note that in Unicode builds (which should be the default ones these days), CreateDirectory just expands to CreateDirectoryW, so I would just drop the ending "W" and use the (IMHO, more readable) CreateDirectory:
CreateDirectory(
CA2W( utf8Name, CP_UTF8 ) // convert from UTF-8 to UTF-16
... // other stuff
);