You don't need to make any directories. When you untar the file, it will create
a folder called pandodl in the folder where you downloaded the tarball. When
the instructions say "export PANDO_HOME=/PATH/TO/PANDODL_DIR" what they are
doing is creating a variable called PANDO_HOME, which is called later in the
script as $PANDO_HOME and you are supposed to replace the /PATH/TO/PANDODL_DIR
with the path to the pandodl directory.

For example, I downloaded the tarball to /home/david/Downloads and unpacked it
there, creating the directory /home/david/Downloads/pandodl, so the command
becomes (for me only!)

export PANDO_HOME=/home/david/Downloads/pandodl

If you have any spaces in the path (eg /home/david/Downloaded files/pandodl) you
must enclose the full path in quote marks.