Definitely get used to the TAB autocomplete function in the terminal. It will ensure you are typing things correctly, which is likely the reason for the above mentioned error. The other option, but rather one NOT to use in this instance since all above directories are likely already created would be the -p flag:
mkdir -p ~/.kde/share/apps/ksplash/pics
And it will create all the directories below it up to the final drectory 'pics'. But since .kde/share/apps/ksplash probably already exists it's likely either:
instead of just .kde
b. you missed the . before the .kde
c. You are fishing around in the wrong directory?