HTC M8 No TWRP folder

I am trying to unroot my m8 and I have found a tutorial with correct way to do it. I have to copy a file into the root of my internal storage called TWRP but it is not there. I used it to root my phone and I can load it. The folder just doesn't exist. I try and make one but it will make one but not name it.

Help would be greatly appreciated.