In many cases, you will have to create a directory manually on your Dedicated Server.
All those commands should be executed in command line.

Create one directory

mkdir directory
ls
directory

Create many directories

mkdir directory1 directory2 directory3
ls 
directory1 directory2 directory3

Create parent directory with flag -p

mkdir -p directory1/sub1/sub2
tree
directory1
|____sub1
     |____sub2