Ah. That is because you entered
sudo mkdir /mnt/sdb
The command 'sudo' allows you to take superuser (or root) privileges for one command. After you enter this line of code, you will be prompted for your root password. You need to enter the password as directed and then proceed with the instructions.
This is necessary because only the superuser has the permissions necessary to create a directory there.
Or, of course, you could just switch to another Ubuntu.