Make certain you have environment variable PVM_ROOT set (and exported, if applicable) to directory where PVM is installed before you do anything else. This directory is where the system executables and libraries reside. Your application executables go in a private directory, by default $HOME/pvm3/bin/$PVM_ARCH. If PVM is already installed at your site you can share it by setting PVM_ROOT to that path, for example /usr/local/pvm3. If you have your own copy, you could install it in $HOME/pvm3.
If you normally use csh, add a line like this to your .cshrc file: setenv PVM_ROOT $HOME/pvm3
If you normally use sh, add these lines to your .profile: PVM_ROOT=$HOME/pvm3 PVM_DPATH=$HOME/pvm3/lib/pvmd export PVM_ROOT PVM_DPATH
Make sure these are set in your current session too.
Older versions of PVM assumed an installation path of $HOME/pvm3. Versions 3.3 and later require that the PVM_ROOT variable always be set. Note: For compatibility with older versions of PVM and some command shells that don't execute a startup file, newer versions guess $HOME/pvm3 if it's not set, but you shouldn't depend on that.