The 'example.com' shown above was exactly that, an example. The actual directory will be named the same as your domain. For example; if your domain was abcd.com, the directory would also be named abcd.com
If you do not have a directory with the same name as your domain then it sounds like the domain has not been added to the DreamHost system.
Is the domain the 'free' domain you registered when signing up to DreamHost? If so the directory should already exist.
If you registered the domain later, you will need to add it to the DreamHost system using the Domains -> Manage Domains section of the Web panel.
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