core/local doesnt exist?

Hey,
Im stuck on step 3, app/code/local/Mage/Core/ doesnt exist. there is only 2 files inside of /code they are core & community. Should i create the path to the file myself or should it be there already? Any help would be greatly appreciated .

Cheers

http://ww.wp.xz.cn/extend/plugins/magento-wordpress-integration/