when you use the greater signal for output redirecting the file definitely should be written to the CURRENT directory, no matter where is located the application you are calling. This is how it works on my Mac and on my Linux boxes. If that doesn't works for you this way, its really weird. Anyway just ensure stuff is being written to the last directory I CDed on the tutorial and you will be fine.
You'll put the out.lst file to the same folder (/bin/) where ICU commands (for example decmn) are. Extracted files are then on /bin/icudt34l/ folder. Obvoiusly this was the set I tried to do 'gencmn' from first. However, the command in tutorial