If you mean a manual note (that you type yourself) you can do that in the same way that you do for other players - by clicking the Note Editor icon in the Hud.
If you don't have the Note Editor icon in your Hud you can add it - see
this guide for how to do that.
If you mean automatic notes in NoteTracker then Hero notes are disabled by default because it would generate a huge number of notes (because you have a lot of hands on yourself, and full card information for all of those hands). It's possible to turn them on for yourself on the NoteTracker > Status tab by turning off the 'Do not take notes on the hero' option.