Subdomain FTP folder?
 

I just can't seem to find the folder that should contain the web data for any subdomain that I create? where is it located, or where should I create it manually to allow me to upload date to it?

Subdomains always point to the parent domain, so you must upload your content to the parent web site.

So if I want to create a subddomain with it's own contents, I should create a new domain and not a sub domain with its own ftp user?

Yes, create the subdomain as a vhost of its own and also create an FTP account for it.