My current location is /home/ubuntu

I want to create a directory in /home/ubuntu/Desktop called "My Programs".

Tried the following:

It is saying that /home/ubuntu/Desktop already exists...! How can you write this?

mkdir /home/ubuntu/Desktop/My\ Programs

or, alternatively,

mkdir "/home/ubuntu/Desktop/My Programs"

The reason you got that return statement was you lacked the foreword slash after Desktop/ What you told the shell to do was make a directory of Desktop and it already existed. Had you put the / foreword slash after the bash shell would have created the directory My Programs within the Desktop dir. Another thing you should know, if you make a directory using the sudo prefix you are making it as root, and may not be able to write to it as a user unless you change the permissions.

Also make sure when you make a directory and you give the path don't put a space in between the last / and the name of the directory you want.

wrong > mkdir /home/username/Desktop/ "My Programs"
right > mkdir /home/username/Desktop/"My Programs"

http://www.linuxconfig.org/Mkdir
http://www.linuxconfig.org/Portal:Linux_Commands

hope this helps