I was meaning in Dreamweaver, "Create a site" which will define which folder on your hard drive has all of your website files stored in it.
Site > Manage Sites > New
As mentioned, you should have an ftp address for your server and a root folder there also. That way, when you've made changes to a webpage in Dreamweaver you can click the upload button and your html file will be sent from your PC (where only you can see it) to whichever server the site is stored on so that the rest of the world sees your changes.
I've never liked Dreamweaver's ftp function - seems a bit slow and intrusive.