What is Aka ?
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On windows I have not "sketchbook".
You do, but like I said, the folder (yes, bit weird) isn't called "sketchbook" but "arduino". And it's by default in you Home directory which is by default C:\Users\[user]\Documents\arduino.
I do not understand why on Linux, Mac or windows it is not the same directories ...
It is kind of the same, on all platforms it's a folder called "arduino" in the Home directory of that OS.
If I create this directory IDE work with it ?
No, use the non-install and create in there a folder called "portable" (for the current version that's /arduino-1.8.2/portable). When you then run the arduino.exe it's run as a portable version and a folder called "sketchbook" is created in that "portable" folder.