Ed,
It's the same directory where you put the Oxwall package before extracting it...usually called "public_html".
The folder structure should look something like:
/home/(your domain name or whatever your host abbreviated it to)/(any subdomain you created)/public_html/ow_cron/run.php
Example: if your site is called september.com it would probably look like this:
/home/september/public_html/ow_cron/run.php
You want to set up the cron job to call the run.php file. You can do that using cpanel and it's a simple guided interface. Schedule it for every minute if possible, or every 5 minutes. In some cases the host only allows every 15 minutes.