Simply create it. As the first two lines in the instructions say:
Quote: "* Go to [Dark GDK]/Wizards/Files. Copy all of the files from here.
* Paste the files into [Your Documents]/Visual Studio 2008/Wizards"
Hopefully the Visual Studio 2008 folder exists at least? Then make a new Wizards directory under it and copy in the files.
P.S. Also check whether you don't have another "my documents" directory? I know that I have two on my Windows 7 computer, one is named in English and the other is named in my native language.