You can simply create those directories for the controlmap.txt to go into to.
Also, the first time you start the game it is recommended that you go into the keybindings menu and select Default...this will read the custom file and set the keys accordingly. If you want to revert back to the actual default just remove the custom file and repeat the process within the menu.
Hope that helps.
Oh, and just a note to others that it might help...I keep the default interface keys as is (E, R, F, T, Tab, etc) and use AutoHotKey to assign them to additional keys of my choice. In other words, I really only use the custom controlmap.txt file for setting my movement keys to the numpad. That way the interface default keys will still work as the interface suggests during any given moment but I also have a custom key that I would more likey prefer to use instead. After a couple of uses the custom key becomes second nature so I don't really need the interface to tell me to use it and I avoid any issues that can arise from messing with those keys. I talk about this further down that thread if anyone's interested but here's my AHK file:
Spoiler #NoEnv
#IfWinActive ahk_class Skyrim
SendMode Input
SetWorkingDir %A_ScriptDir%
Numpad1::R
Numpad5::F
Numpad7::E
NumpadAdd::Tab
NumpadEnter::Enter
With the custom controlmap.txt file AND the AHK code I've been running without any keymapping issues since nearly day 1.