The first time I ran HTK_Compile_Model.sh it stopped at step 5 and complained that it could not find sample1.wav. The message indicated it was looking in a directory one level up, but the Howto calls for the wav files to be stored two levels up in voxforge/train/wav directory. 

I found that after:

mkdir auto/train and mkdir auto/train/wav,

copy all sample*.wav files to this new wav directory

mkdir auto/train/mfcc

then the script ran perfectly to the end. Maybe I missed something, but hope it helps.