For Vegas Movie Studio to automatically create your folders, use the New Project dialog to create your projects. You must check the "Manage project files" checkbox that is near the bottom of the dialog. Confirm that the folder is the desired location on your hard drive. You'll need to give your project a name, which is how VMS knows exactly where to automatically create those folders.
You can bring up this dialog by clicking New in the Welcome screen or from Project -> New.
When you click Start Using Vegas Movie Studio in the Welcome screen or the New Empty Project button in the toolbar, you'll get a new empty project and you'll need to manage the folders yourself (this is like Vegas Pro).