it's part of standard java. you might just need.

import java.io.File;

Maybe you should have posted in the previous thread...
Anyway, either you have not followed the link I gave, or you didn't understand how to use it.
mkdir() isn't a Processing function. You have to create a Java object and use the method with it.
Something like:

1. File f = new File("path to/the folder/to create");
2. f.mkdir();

If you need to create several dirs at once in a path, use f.mkdirs();