You should always test your file operations.

Try this:

if (!-d "e:/web/public_html/eagle_f91/ffinfo/protected/images/$Game") 
+{
    mkdir("e:/web/public_html/eagle_f91/ffinfo/protected/images/$Game"
+) or die("$!\n");
}
if (!-d "e:/web/public_html/eagle_f91/ffinfo/protected/images/$Game/$S
+ubSet") {
    mkdir("e:/web/public_html/eagle_f91/ffinfo/protected/images/$Game/
+$SubSet") or die("$!\n");
}
if (!-d "e:/web/public_html/eagle_f91/ffinfo/protected/images/$Game/$S
+ubSet/thmb") {
    mkdir("e:/web/public_html/eagle_f91/ffinfo/protected/images/$Game/
+$SubSet/thmb") or die("$!\n");
}
[download]

$! will show you the specific error message.

UPDATE: fixed typo