Yup. they want you to start ftp'ing the file to your account. You'll need an ftp program. you actually have one built-in to windows but there are other ones as well.

There are quite a few free ones out there. Here is one to start with

http://www.tucows.com/preview/195147.html

After you install it you'll need to configure the site based on the info they sent you. Probably an IP address and a username/password. then you'll see the directory of files on your machine and the directory on the server (your web site) and then simply move the files from one window to the other.