Yes, you can simply create it if it isn't there, when using a Web Site Project.
However, it may not be there because you create a Web Application Project (using File | New Project) instead of a Web Site Project (using File | New Web Site). In that case, you have a problem and cannot simply create the folder.
Is this the case? WIth a WAP, each file has two code behind files (e.g. Default.aspx.
vb and Default.aspx.designer.
vb). Do you see those? If so, you have used the wrong site type and cannot use App_Code.
Refer to page 34 for a discussion of the differences between a WAP and a WSP and the TIO on page 37 for the correct steps on setting up the Planet Wrox web site.
Hope this helps,
Imar