Thank you for this bug report. To properly diagnose the problem, we
need a short but complete example script to be able to reproduce
this bug ourselves. 

A proper reproducing script starts with <?php and ends with ?>,
is max. 10-20 lines long and does not require any external 
resources such as databases, etc.

If possible, make the script source available online and provide
an URL to it here. Try to avoid embedding huge scripts into the report.

Here is a simple example of the "bug" :
<?php
mkdir("toto/tata/titi/tutu", 0777, true);
?>

It outputs :
Warning: mkdir() [function.mkdir]: No such file or directory in D:\Serveur Web\...\toto.php on line 2

Instead, I must use successive mkdir() calls :
<?php
mkdir("toto", 0777);

chdir("toto");
mkdir("tata", 0777);

chdir("tata");
mkdir("titi", 0777);

chdir("titi");
mkdir("tutu", 0777);
?>

Use appropriate slashes on Windows (i.e. DIRECTORY_SEPARATOR constant).
I doubt this behaviour will be changed ever, because "dir\name" is perfectly valid directory name on *nix. 

Yes ! It works with the proper use of DIRECTORY_SEPARATOR constant. Thanks