This command from the example is for the PC itself, not the router. Specifically, this command installs mosquitto (MQTT Client) on the Linux machine. If you have a Windows PC, you can either:
Install Linux/Ubuntu on a virtual machine, such as VirtualBox, or other (can use WSL on Windows here).
Install a MQTT client application on the Windows PC directly. For example, MQTT explorer application here. From the MQTT client, you can subscribe and publish to the MQTT broker on RUT. This would be the easiest option.