Unable to create directory….What is this?

I keep hearing that, but how do I do it? I see no where on the page that gives me an option to change that.

Honestly, I am lost. I went to that link, but have no idea where I am supposed to go to make these changes. I am kind of lost on wordpress, because I do not know where things are located, so when I see people responses to these problems, I am not sure where they are actually making the changes.