https://auth0.com/authenticate/android/firebase : step 4 is not clear .

Auth0 in this link step 4 is not clear .
Call the Delegation endpoint from Auth0 to get a token for Firebase API

curl --data \
 "client_id=YOUR_CLIENT_ID&\
 &grant_type=urn:ietf:params:oauth:grant-type:jwt-bearer\
 &refresh_token=\
 &scope=open_id\
 &api_type=firebase"\
 https://YOUR_ACCOUNT.auth0.com/delegation

Where do I have to write this command?

The link you mentioned is just a general page about the possibility of integrating Android and Firebase.

For reference information on delegation and how to obtain the tokens see (Delegation Tokens). In general, the delegation request you mentioned needs to be performed from within your client application.