There;s a number of undocumented features in SQL Server 2000 (that is, they probably wont exist in the next version, so try not to use them!).
There's the master..xp_fileexist extended sproc which uses the syntax
EXECUTE xp_fileexist filename [, file_exists INT OUTPUT]
example:
DECLARE @intFileExists
SET @intFileExists = 0
EXEC master..xp_fileexist 'c:\boot.ini', @intFileExists OUTPUT
SELECT @intFileExists as DoesTheFileExist
There's also one called master..xp_dirtree which returns a directory listing. You need to chuck that one into a tablet to make the results useful though.