I am new in Linux and don't know much about it's installation manner. It's interesting for me to know where does it install the pockesphinx program?
where is continuous.cfile?
How Linux can find and execute this command: pocketsphinx_continuous -inmic yes ?
Where stuff is installed depends on how it was installed. Usually: If you were using your package manager, refer to your distrobutions documentation. If you extracted a tarball or installed using a script from a projects website, refer to their documentation.
If you are able to invoke the program from your terminal from everywhere, it will probably reside somewhere on your $PATH. You can show which directories are included in your path by issuing cat $PATH in your terminal of choice.
Also, the locate command is useful if you need to locate a file on your disk. I.e. locate pocketsphinx would give you all files that has the pocketsphinx string in its name, and its location. If you just installed the program, you might need to run a sudo updatedb to rebuild the index.