Create mg directory on module initialization.

Author: peombwa

src/Authentication/Authentication.Test/Helpers/AuthenticationHelpersTests.cs

@@ -24,6 +24,7 @@ public AuthenticationHelpersTests()
         {
             GraphSession.Initialize(() => new GraphSession());
             GraphSession.Instance.InMemoryTokenCache = new InMemoryTokenCache();
+            GraphSession.Instance.GraphOption = new GraphOption();
             mockAuthRecord = new MockAuthRecord("test");
             mockAuthRecord.SerializeToFile();
         }

src/Authentication/Authentication/Common/GraphSessionInitializer.cs

@@ -29,6 +29,8 @@ public static void InitializeSession()
         internal static GraphSession CreateInstance(IDataStore dataStore = null)
         {
             IGraphOption graphOptions = null;
+            // Try to create directory if it doesn't exist.
+            Directory.CreateDirectory(Core.Constants.GraphDirectoryPath);
             if (File.Exists(Constants.GraphOptionsFilePath))
             {
                 // Deserialize the JSON into the GraphOption instance