This is hierarchy of directories where CMake will store generated files and where native build tool will store it’s temporary files. Directory will contain variables/paths which are specific to your environment so they doesn’t mean to be shareable. E.g. you should never store files from this directory to VCS. Keeping binary tree in a separate directory from source tree is a good practice and called out-of-source build.
Directory can be specified by -B option from command line or
Browse Build... in CMake-GUI.