That just refers to the directory (folder) on your web host where you are using the script.
By default, upload the image to the same place you upload your page with the script. If you upload the image to a different location, be sure to change this line in the script to the correct location:
HTML Code:
<!-- make sure the src="" attribute matches the correct location of the image -->
<!-- by default it should go in the same location/folder/directory as the page that uses the script -->
<img src="close.gif" width="16px" height="14px" border=0>
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