The OBSPROC program (obsproc.exe) should be found under the directory $WRFDA_DIR/var/obsproc/src if “compile all_wrfvar” completed successfully.
If you haven’t already, you should download the tutorial case, which contains example files for all the exercises in this User’s Guide. The case can be found at the WRFDA website (http://www2.mmm.ucar.edu/wrf/users/wrfda/download/testdata.html).