Do you have the +OPL partition? If not, create one using uLEs HDD Manager. I forget whether uLE-created partitions always have the + in front of the name, but I think they do. OPL should automatically create the folders it needs. I recommend 1GB for your +OPL partition, that way you'll have more than enough space for VMCs even if you create a separate 64MB one for all games, never mind the more-standard 8MB (which I generally use).
You can also use MC Annihilator to backup a full image of an existing VMC to the HDD and use it as-is with games if you're currently migrating from optical disc gaming, which I've found handy in the past when helping others get set up with homebrew and discless gaming.
Chip-free/MC-free homebrew <3
FMCB 1.93 on MC for emergencies, NA
250GB HDD/FHDB 1.93/OPL 0.9.2 (GSM and non-GSM)/PS2 games, NO HDDOSD
80GB HDD/FHDB 1.93/POPStarter rev12/OPL644/GSM0.37/PS1 games, NO HDDOSD
SCPH-75001 (sitting idle, slims suck):
FMCB 1.92 on MC