A web user is an account that has it's own webspace that is separate from the main site. It can be accessed via http://www.yourdomain.com/~user (replace "yourdomain.com" with your actual domain and "user" with the actual web user name).
Here's how you create a web user for your site:

Log in to your control panel.
Select the domain name that you want to apply the change to.
Click on WEB USERS.
Enter the username that you wish to create in the field next to "Web user name:".
Click on ADD.
Enter the new password and confirm the new password.
Click on UPDATE.