The response you got was meaning from the program directory. You can check that location by opening windows explorer (run: "explorer" if you can't find it).
Or you can click on Start > Programs ("all programs" depending on windows version) > Play Online (or FFXI, whichever way it is listed) > "Uninstall FFXI"
Edit: I haven't tried this, but it works with various other programs... Try inserting Disk 1 into your CD drive. There may be an option there for uninstalling.
Edited, Wed Sep 7 16:59:29 2005 by tonmaitre