Add GOPATH reminder on README.md (#126)

This fixes #112

README.md

@@ -38,6 +38,10 @@ To build and install it, use the `go get` tool.
 
     go get github.com/google/pprof
 
+Remember to set GOPATH to the directory where you want pprof to be
+installed.  The binary will be in $GOPATH/bin and the sources under
+$GOPATH/src/github.com/google/pprof.
+
 # Basic usage
 
 pprof can read a profile from a file or directly from a server via http.