The debian directory is found in the package staging area used by MADDE. The staging area is where the package is prepared and assembled. The changelog file should be created in the debian directory at that place.

The changelog file is a text file describing changes, as the name suggests. It can be created using an editor of your choice.

For future reference, I suggest that you give Google a try by searching for "<problem> HOWTO". Second hit:

http://www.debian.org/doc/FAQ/ch-pkg_basics.en.html