Your wallet address is the Bitcoin public key to which transactions can be sent. If you don't have a wallet, you can create one for free at https://blockchain.info/wallet/.
Note: if your wallet is rejected when placing an order, make sure that you're entering the address, not the ID. The address will either start with a 1 or a 3, and will contain 26-35 alphanumeric characters.
Tip: You can always check the status of your wallet by adding the address at the end of this URL: https://blockchain.info/address/ (e.g. https://blockchain.info/address/1dice8EMZmqKvrGE4Qc9bUFf9PX3xaYDp).