I went ahead and created the sdcard directory, copied the su.zip and was able to apply it successfully (or so it said).
How do I know if it is rooted? I think I might be getting somewhere...
.There's a couple of ways:
[note: if you are rooted, you should be prompted by the Superuser app to grant (or deny) permission to the app seeking root access]
1. Via this Market app Root Checker
2. Or via this Market app Android Root Toolkit and use the "Display Root and Mount Status" option
3. Or install Market app Android Terminal Emulator; when you see the "$" prompt, enter su. If you see a "#" prompt, then you are rooted.
There's a couple of other ways, too, but these are probably the easiest.
So I was already in the sdcard directory and didn't know it? In that case I just created an sdcard subdir within the sdcard dir and that is where I copied su.zip. But it seemed to work. Should I delete the su.zip now and the sdcard subdir I made or do I need them?
Well, technically, if you are navigating to that file from your phone, the full path will be:
/sdcard/sdcard/su.zip
(or also, /data/media/sdcard/su.zip, since the "/sdcard" mount point is actually located at /data/media)
So, you don't need it, but it's pretty harmless as long as you remember you've got a subfolder called "sdcard".
Cheers!