The MX record of any given domain is handled by whatever nameservers are assigned to the domain. They are one of a few different type of DNS records that get attached to the said domain.
So in order for you to "make and MX" record on your domain you need to find out who handles the DNS records for your domain, and either go in and add the MX record or have them do it.
I use Tera-Byte.com to handle my domain registration, and I use Zone-Edit to handle the DNS side of things. They both give me full control over my domains.
Hope that helps.