Create a batch (text) file in notepad called "create.bat" or something.
cd C:\ (or wherever you want to create them)
md 0001 0002... 1999 2000
exit
note - just separate the names with spaces.
Note 2 - probably not a good idea to put 2000 folders at the root of C!!
Run from a command prompt.
I would use Excel (or similar) to create the list, using dragging, then use Word to copy the table and convert to text, replace paragraph marks with spaces, then paste into the batch file. Takes about 2-3 minutes.
SD
ps - you could do clever things with a data file and create the batch file with a variable for foldername and pass the datafile to it, but if you are only doing this once and have to create the text for the datafile anyway, it's quicker to just "hardcode" it.