You need to check whether your kernel includes RAID support. First try to load the raid modules, if necessary:

Then verify the existence of raid support. Try:

If /proc/mdstat is not available, or if line 32 does not show the [raid1] personality, you will need to enable the following options in your kernel (screen taken from 2.6.18.1) and recompile :

After kernel recompile and reboot, the /proc/mdstat file should be available and showing that you have 2 RAID “personalities” available: [raid0] and [raid1].  You could choose to install RAID support as modules, but since you're going to be using it all the time, it makes no difference if you include it in the kernel, as I did above. Note that the device mapper support is a different thing, but it's useful to have around, so you could just go ahead and install it for future use (encrypted volumes are an obvious application).