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That's because cd is not the name of an executable, it's a directive to the shell to change directory. If you have a look at this man page, you can see it's part of the command that's built into BASH.
As you can only use sudo to execute one command at a time, doing sudo cd xxxxx wouldn't be of any use because as soon as the cd command ended it would drop back out of the sudo shell back into your BASH shell and your directory wouldn't have changed.
Thanks for the answers. "sudo sh" or "sudo -s" will help me.
I would need "sudo cd" do enter the /root directory as a normal user. But "sudo -s" is actually quite confortable, I just try to be root as little as possible.
I don't remember, but perhaps you can list the contents of /root as a normal user; then you can just use sudo for whatever other commands you need.
I'm less careful, I just use su and then log back out as soon as I'm done. Someday I'll figure out groups and sudo and learn how to create a special account (say sysadmin) for sudo activities, so that I can "su sysadmin" and then use its sudo powers, so that my normal user has nearly no sudo powers. For that extra layer of paranoia.