Eigen is installed by the build process into your AirSim folder, so after the build completes you will have ~/AirSim/eigen. The build is downloading eigen from Eigen 3.3.2 zip file
But your Unreal Projects will also need to be able to find this location and for that we set an EIGEN_ROOT environment variable. That variable needs to point to the eigen folder (not the eigen3 subfolder)
See how to set environment variables on windows.
On Linux you can use the usual trick if your current folder is set to your AirSim git repo:
echo export EIGEN_ROOT=$(pwd)/eigen >> ~/.bashrc
source ~/.bashrc