  Let $p$ be an odd prime number. We study the problem of determining the
module structure over the mod $p$ Steenrod algebra $\mathcal A(p)$ of the
Dickson algebra $D_n$ consisting of all modular invariants of general linear
group $GL(n,\mathbb F_p)$. Here $\mathbb F_p$ denotes the prime field of $p$
elements. In this paper, we give an explicit answer for $n=2$. More precisely,
we explicitly compute the action of the Steenrod-Milnor operations $St^{S,R}$
on the generators of $D_n$ for $n=2$ and for either $S=\emptyset, R=(i)$ or
$S=(s), R=(i)$ with $s,i$ arbitrary nonnegative integers.
