The answer will depend on how your web host is configured.
Typically, when you get assigned an FTP username and password, it takes you to the "root" directory for that username.
On MOST web hosts, that will give you access to a bunch of files that Dreamweaver does not need (like the server access logs), and you'll have a folder there called public_html or something similar, that contains all the files that are accessible from the WEB server.
You should not have to enter ANY name as the directory, to get the default root directory for your username. If you have trouble logging in, try testing with "passive" FTP instead of active (the default).
Once you're logged in, check to see if there is an "index.html" or "index.php" or similar file in the folder. If you see one, then that's the directory you should put into your Site definition... because even though you CAN log into directories ABOVE the public one, it's not a good idea, as some of Dreamweaver's features won't work if the files it's uploading automatically aren't available on the web... things like the test function (F12), configuration of databases for web application "behaviors", and the site map.