With Nokia N9 you can download the map data directly to your phone over Wi-Fi (WLAN) connection. Check that you have a Wi-Fi connection available and select Maps > Settings > Manage maps to download the desired country maps to your phone.
Downloading of the country maps via cellular connection is not supported with Nokia N9.
You can download the map data to your phone also via PC by using Nokia Suite 3.5 (or later).