you have to be "root" to add a directory in most places, including the root (/). that means typing su in a terminal program like xterm, and then entering the password for root that (hopefully) you created when you were installing and setting up your system. when you're logged in as root you'll be able to make the directory with the mkdir command.
btw, there's no such thing as "linux 9." when you say what you're running, name the linux distribution: mandrake 9, red hat 9, slackware 9, etc.