Click on your home directory to open a ROX-Filer window. This is the place to save any documents you create. In fact, it's normally impossible to save files anywhere else, so you can't easily lose stuff. It contains all the files that are specific to you. Initially, it contains just the Choices directory, which contains various personal settings (such as what items should appear on your panel).
The titlebar of the window shows which directory you're looking at. It currently shows ~, which is a short-hand for your home directory. Your personal home directory is inside the main /home directory, which contains home directories for all users of the computer.
Use the Up arrow on the toolbar to move into /home, and you'll see your personal directory listed alongside those of the other users.
If you go Up again you'll reach the root directory (/), which contains everything in your system. You can't go up any further from here.
Click on home to return to /home and then click on your own home directory to get back to where you started from. You can also get back here by clicking on the picture of a house in the toolbar.