As the article in http://www.yiiframework.com/extension/yii-user/

There are instructions

My problem is this

Run command: yiic migrate --migrationPath=user.migrations

That command! How and Where?

Maybe not really the answer you are looking for but still, if you are stuck : as for database migrations scripts, you’ll find them under user/data in the module directory. There is one script for mysql and one for sqlite. If you are using one of these, the said scripts are enough to set your database schema. Two default users are provided with the script : admin/admin and demo/demo.