A 3X3 magic square 

is a square of numbers (for example 1 through 9) so that sum of each raw, column and diagonal adds up to the same number.

One way to create a 3X3 magic square is by using the diagonal method.  You start at the middle colum at the top with the number 1 and keep working your way digaonally (to the right) and wrapping around when you need to.  If the place is full just go the the square below the current square.

Continue the method until you get a magic square and then check that indeed you got one.  Try if the method works if you start somewhere else and if you go in different ways.  Try the method on a 5X5 magic square and other squares also.

There is much more material on magica squares on the web.