Wildcard sub-domain directory creation

Hello, sorry been trying to find an answer to a question my web host has asked following my request to set up a wildcard.

"We can create a wildcard sub-domain so http://anything.yourdomain.com will go to a particular directory in your account. If you would like this, let me know the domain name, and the directory you would like it pointed to."

I cant find it mentioned anywhere what this folder should be, im guessing it would be wp-content/blogs.dir ?

Any help is much appreciated, thank you