Hi Alex,
Are you following the instructions at
http://wiki.flightgear.org/Building_usi ... _-_Windows? Your list seems to be slightly different... Please post a link to your guide if it's some other than the one I linked.
The part you quoted is showing you the directory structure that you need to set up. MSVC_3RDPARTY_ROOT is a placeholder for the "main" directory in which you'll put all other directories. You can create this folder in a location of your choice. The FlightGear and SimGear subdirectories are containing the sources of both (I take it you know how to use Git?). The other directories may require some downloading and/or installation. Just follow the links for them and unzip the packages to that directory or install the software.
You'd really have to run cmake yourself as it needs to find lots of dependencies on your machine and they may be in different locations/versions than on someone else's. But don't worry, we can guide you through it. It'd help if you could post specific questions about steps you don't get
Cheers,
Gijs