with your angelfire web space you need to 'enable' your server directories. You do this by clicking the 'enable me' button on the angelfire site - it's in the same place as the text that you've quoted.
Before you do that however, you'll need to actually design your site in FrontPage. Once that's done you can enable your server directories so that the FrontPage extensions are placed there. Then you can publish your site from FrontPage in the normal way. Begin by designing your site - saving it to your hard drive as you go. FrontPage will create the necessary folder on the drive.