SHGetSpecialFolderLocationとSHGetPathFromIDListのコンビネーションです。
実際のフォルダの作成には、CreateDirectoryを使っています。

uses
  shlobj;

function CreateFolder(Foldername: String; aLocation: integer): boolean; 
var
  pIdl: PItemIDList; 
  hPath: PChar;
begin 
  Result := False; 
  if SUCCEEDED(SHGetSpecialFolderLocation(0, aLocation, pidl)) then 
  begin 
    hPath := StrAlloc(max_path); 
    SHGetPathFromIDList(pIdl, hPath); 
    SetLastError(0); 
    CreateDirectory(PChar(hPath + '\\' + Foldername), nil); 
    if (GetLastError()=0) or (GetLastError() = ERROR_ALREADY_EXISTS) then
    begin
      Result := true;
    end;
    StrDispose(hPath); 
  end; 
end; 

procedure TForm1.Button1Click(Sender: TObject); 
begin 
  // constants like 'CSIDL_PROGRAMS' are defined in ShlObj 
  CreateFolder('MyProgramgroup',CSIDL_PROGRAMS); 
end;