"Place the dictionary in the installation directory of the tool, the project directory, or in the directory associated with the tool under the user's profile"
"The project directory" refers to the FxCop project directory, as in the same directory as the MyFxCopProject.FxCop file, and not the Visual Studio project directory, which I hear is something that only Visual Studio 2008 supports.
Possibly confusing, so there's some clarification.