TEXMF means the root of your system TEX tree, e.g.:
C:\texmf\ (win)
C:\texmf-local\ (win)
/usr/share/texmf/ (Unix)
/usr/local/share/texmf/ (Unix)
/usr/share/texmf-local/ (Unix)
/opt/texmf/ (Unix)
You should prefer "local" paths for the installation.
Please consult the documentation of your TeX-system.