OK so you need to make these subfolders in your home directory. I'm guessing you installed under windows as I saw your comment on my video! Remember that part of the install was created a home folder and setting it's path in your environment variables.
~ is the symbol for the home directory so you need to create directories for this path ~/.config/common-lisp/source-registry.conf.d\ which for my setup would be c:\home.config\common-lisp\source-registry.conf.d\
Inside that create directory creare a fuf.conf file and paste the lines from the instructions.
I haven’t got a windows machine to hand but hopefully that's enough to get you going!