Это должно обойти вашу ошибку:
Sub MakeFolders()
Dim xdir As String
Dim FSO
Dim lstrow As Long
Dim i As Long
Set FSO = CreateObject("Scripting.FileSystemObject")
lstrow = ActiveSheet.Cells(ActiveSheet.Rows.Count, "A").End(xlUp).Row
Application.ScreenUpdating = False
For i = 2 To lstrow
'change the path on the next line where you want to create the folders
xdir = Range("E" & i).Value & Range("B" & i).Value
If Not xdir = vbNullString And Not FSO.FolderExists(xdir) Then 'I've added here a check for the xdir value, if it's empty it won't try to create the folder.
FSO.CreateFolder (xdir)
End If
Next
Application.ScreenUpdating = True
MsgBox "Folder Created Successfully", vbInformation, "Info"
End Sub