The whole
/proc is a virtual filesystem, so it doesn't "really" exist. It's often described as merely a "peek hole into the kernel", so if you don't have ip_conntrack module enabled in iptables (which is a kernel module, in addition to the iptables software you install) you probably don't have that "folder" (btw. Linux doesn't use "folders", it talks about "directories", and in this case it's a virtual directory) at all.
So, make sure you have ip_conntrack module loaded into your kernel. If it's not builtin (as it seems it's not), try
Code:
modprobe ip_conntrack
and re-run your script again.