Before you can use haxelib you have to go through an easy setup

Step 1.: Create a directory where the libraries are stored and make sure that you have the right to access this folder. On a *nix system that could be done with

 sudo mkdir -p /usr/lib/haxe/lib
 sudo chown -R myusername /usr/lib/haxe

Step 2.: Run the haxelib setup

haxelib setup

Please enter haxelib repository path with write access
Hit enter for default (/usr/lib/haxe/lib)
Path :
<hit Enter>
haxelib repository is now /usr/lib/haxe/lib/