Tenho minha atividade no Android:

try {  
            File root=Environment.getExternalStorageDirectory();  
            Log.i("root",root.toString());  
                            File dir=new File(root.getAbsolutePath() + "/downloads");  
            dir.mkdirs();  
            file=new File(dir,"mytext.txt");  
            FileOutputStream out=new FileOutputStream(file,true);  
            PrintWriter pw=new PrintWriter(out);  
            pw.println("Hello! Welcome");  
            pw.println("You are Here...!!!");  
            pw.flush();  
            pw.close();  
            try {  
                 out.close();  
            } catch (IOException e) {  
            // TODO Auto-generated catch block  
                e.printStackTrace();  
          }
        } catch (FileNotFoundException e) {  
             // TODO Auto-generated catch block  
             e.printStackTrace();
        }  

also adicionou:

   <uses-permission android:name="androd.permission.WRITE_EXTERNAL_STORAGE"/>   

mas lança-me a exceção FileNotfound: 01-13 09: 06: 44.442: WARN / System.err (419): java.io.FileNotFoundException: /mnt/sdcard/downloads/mytext.txt (não existe esse arquivo ou diretório)

e se eu adicionar

 if(file.exists()){  
   System.out.println("file exists");  
  }  
  else{  
     System.out.println("No such Fileeeeeeeeee");  
   }  

passa para a parte "else"

Obrigad
Sneha