You need to ensure that you have a folder called WWW-data under your home directory. If you do not see a directory (or folder in Microsoft speak) in your list of folders under you top level home directory called WWW-data, you need to create one. You can do so by right clicking on the in the box containing the list of folders and file on the right hand side of the SSH Secure File Transfer screen. Then choose the New Folder option. After choosing the New Folder option, proceed to create a new folder called WWW-data.
If you already have a folder called WWW-data, you do not need to do any of the things on this page.