The source pdf file name needs to include to complete directory path or be in your current directory. The xterm drops you into the /home/user/ directory when you start it. You either need to change your current directory to the one that your file is in, move your file to /home/user/ (which show up as the very top level of the internal memory in the File Manager) or specify the entire directory name in the convert command.

Hint: the two other memory locations are hidden in /media/mmc1/ and /media/mmc2/ ... the mmc1 is the removable external memory card and mmc2 is the internal memory card (that is removable on the N800 but not on the N810).