Dear Yan Lin,
please refer to the Moodle docs to find out how and where to install Moodle. Acc. to my previous Moodle installations I see 2 possibilities to install moodle:
1. The domain provider offers a Moodle package for automatic installation in the web hosting settings, then you do not have to care and it will be installed in a folder Moodle under the main web content folder depending on the provider normally named "htdocs" , "httpdocs" or in my domain it is called "web" similar.
2. You download the setup files from moodle.org extract this on your local computer and and copy the files to httpdocs (or however your main web folder is called).
You have to decide during the installation where to store your "moodledata". This can be in a different place for safety reasons.