Try this
Sub CheckIfFileExists()
Const LPath As String = "C:\PDF Drawings\"
Const LExtension As String = ".pdf"
Dim FSO As Object
Dim folder As Object
Dim filefound As Boolean
Dim lastrow As Long
Dim i As Long
Set FSO = CreateObject("Scripting.filesystemobject")
With ActiveSheet
.Range("D1") = "Assy Drawing Finished Yes/No"
lastrow = .Cells(.Rows.Count, "A").End(xlUp).Row
For i = 1 To lastrow
filefound = False
Set folder = FSO.GetFolder(LPath)
If Dir(LPath & .Cells(i, "A").Value & LExtension, vbNormal) = vbNullString Then
For Each folder In folder.subfolders
If Dir(LPath & folder & Application.PathSeparator & .Cells(i, "A").Value & LExtension, vbNormal) <> vbNullString Then
filefound = True
Exit For
End If
Next folder
Else
filefound = True
End If
'Place "No" in column E if the file does NOT exist, "Yes" if it does
If filefound Then
.Cells(i, "D").Value = "No"
Else
.Cells(i, "D").Value = "Yes"
End If
Next i
End With
Set folder = Nothing
Set FSO = Nothing
End Sub