this is literally in front of you when you click the link :moogle:
I know instructions are not as clear as possible (because it doesn't give us the root of the path), but the first time you launch pfbneo, all sub-folders will be created in...
I don't know if instructions for pfbneo are up to date, but here it is : https://github.com/Cpasjuste/pemu/tree/master/src/cores/pfbneo#general-informations