Dear ali.kian.saei,

The problem is that there is no directory called 'data' under your current working directory. You can determine what is your current working directory by typing:

getwd()

If you want to download the series matrix file to a directory called 'data', then you need to do:

dir.create('data')
gset <- getGEO("GSE9476", GSEMatrix =TRUE, AnnotGPL=TRUE, destdir = "data/")

Or, you can also download the series matrix to a temporary location managed by your operating system via:

library(Biobase)
library(GEOquery)
gset <- getGEO("GSE9476", GSEMatrix =TRUE, getGPL=FALSE)
if (length(gset) > 1) idx <- grep("GPL96", attr(gset, "names")) else idx <- 1
gset <- gset[[idx]]

gset
ExpressionSet (storageMode: lockedEnvironment)
assayData: 22283 features, 64 samples 
  element names: exprs 
protocolData: none
phenoData
  sampleNames: GSM239170 GSM239323 ... GSM240509 (64 total)
  varLabels: title geo_accession ... Source:ch1 (51 total)
  varMetadata: labelDescription
featureData: none
experimentData: use 'experimentData(object)'
  pubMedIds: 17910043 
Annotation: GPL96

Kevin