I had a similar proble. I use DB2 UDB EE 7.1 on AIX 4.3.3
To be able to create SQL store procedures you need to install a C/C++ compiler on the server.
Personally I have installed "IBM C for AIX Version 5.0"
Then I had to configure some parameters in order to be able to create stored procedures.
Following is the procedure I followed:
-C for AIX V. 5.0 was installed on the SEMQA machine by IBM
-Edit $HOME/sqllib/function/routing/sr_cpath and add the path with invokes the C compiler
Set the DB2_SQLROUTINE_COMPILE_COMMAND registry variable of DB2 to use the xlc command