Is this issue on a server or on a client? Could be either. If on the server you can’t run the Router task without a mail box, and when you start the Router task, if there isn’t 1 it should create it. The only way it cannot do this is if the template to make a mail.box file is missing.
If you mean on a client you can create it 1 of 2 ways. File–>Database–>New, give it a title, then the file name mail.box and use the advanced template called “Mail Router Mailbox (6)” or “(7)”, whatever you see. Another way is to change your location to a location record that does not have a connection like “Island” or “Home”. The mail.box will be created automatically if it does not exist.