After downloading Sencha CMD you'll need to download the EXT JS SDK or you can download the GPL version. You can get them from official Sencha website (as you would have downloaded Sencha CMD).
Then you can generate the app by specifying the location where you have kept the EXT JS SDK or else, navigate to location where you have kept the EXT JS SDK using command prompt, then give the generate command. For example.
D:\ext-6.0.2-trial\ext-6.0.2>sencha generate app YouAppName <location>
Specify the location where you want to create the files of the application, usually the c:\inetpub\wwwroot directory if you are using IIS server on Windows.