I think there are two problems here -- opening the split file and pickup.sh not being created. I have run into both of these. For the first one, I would check your path to the split file. It should look something like the following:
~/pathToHlahd/hlahd.1.7.0/HLA_gene.split.txt
For the other problem, have you tried changing the value of open files to 1024 using ulimit? Check the value using ulimit -Sa and if it is less than 1024 change it using ulimit -n 1024. This step is mentioned on the website but not on the pdf so it is easy to miss.