Looking at your cp command, that should have been
In other words, "copy recursively everything in the modx-2.3.5-pl directory to this directory". What you were telling it to do was to copy to the server's root directory, not to your web root.
If you put the install.php file in the web root (www or htdocs or public_html), and select the 2.3.5 Traditional installation, it will put everything you need in the web root.