If you have enough permissions you can create a directory in XI as like a normal folder in windows. If you dont have permissions then ask your basis guys to create a folder in XI and link it to AL11.
Normally this information is provided in either the techncial or functional specification for the interface, otherwise the developer can suggest a directory to use.
You could use AL11 to browse the server's direcotry (if it is R/3 or XI.)
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