The documentation says that it starts by default in the media folder, so you would need to do SetFolder("") to set it to the root directory, then MakeFolder("TestApplication") to make a folder if it does not already exist then finally SetFolder("TestApplication") to go into that folder. If you need to load any media or anything from the media folder you will need to do SetFolder("") to go back to the root and then SetFolder("Media").
I was trying the commands earlier to to see if we could do "../" to go backwards through the directories, but the IDE / Compiler did not like that. Seemed kind of odd they would limit the program to its own directory. Anyways, hope this helps. Good Luck.