That will depend on the destination that you set up. When you created the data warehouse job, one of the pages asked for an account and location.
Under report destination it asks for an account and location. The account is the type of destination that you're going to send it to. It sounds like you're using an FTP. It should ask you for the account properties. Then you need to set up the location, this will be the exact spot where it will send the file.
Just a note, FTP for data warehouse is considered legacy, although you can still use it. What is it that you're planning to do with the file? If it's a one time drop, you could have it sent to your email (or anyone's email).