If the directory doesn't exist you need to create it. Java won't create it by itself since the File class is just a link to an entity that can also not exist at all.

As you stated the error is that the file cannot be created. If you read the documentation of PrintWriter constructor you can see

FileNotFoundException - If the given string does not denote an existing, writable regular file and a new regular file of that name cannot be created, or if some other error occurs while opening or creating the file

You should try creating a path for the folder it contains before:

File file = new File("C:/Users/Me/Desktop/directory/file.txt");
file.getParentFile().mkdirs();

PrintWriter printWriter = new PrintWriter(file);