Did you download “tft35a-overlay.dtb” succesfully? If so, you need to change into the directory where “tft35a-overlay.dtb” has been saved to before you execute the provided command - or you have to give the full path to “tft35a-overlay.dtb” like:
sudo cp /path/to/tft35a-overlay.dtb /boot/overlays/tft35a.dtbo