Create file_name directory trees in download_worker

pyrogram/client/client.py

@@ -516,6 +516,9 @@ class Client:
                     # Make file_dir if it was specified
                     os.makedirs(file_dir, exist_ok=True)
 
+                if file_name is not None:
+                    os.makedirs(os.path.dirname(file_name), exist_ok=True)
+
                 if isinstance(media, types.MessageMediaDocument):
                     document = media.document