If you create the website to have the default directory of "c:\temp\mywww" (where your index.htm files would be) and add "\my\custom\path" onto that, you will have the structure http://my.exmple.com/my/custom/path already... since it's a physical location under your default directory.
However, if you don't want those files located under "c:\temp\mywww\my\custom\path", you can add a Virtual Directory with the alias "/my/custom/path" and point it to and entirely different location (for example) "c:\virtual_directories\are\cool"
EDIT (from comments): To do this, first create a virtual directory "my", then in it a virtual directory "custom", and then another one in it "path".
This comes in handy when you have multiple websites use the same backend code, and the settings loads based on the website accessing the specific directory. So example.com/my/custom/path/index.aspx would read the username/password combination from the same database for example.com and seriously_another_example.com/my/custom/path/index.aspx would read the username/password combination for seriously_another_example.com BUT... both are running off the same piece of code (since both are aliased to go to c:\virtual_directories\are\cool) and the same database (if so desired)