C:\Documents and Settings\JJ\My Documents\My Web Sites\Nest_by_Swanky
This is the directory on your local machine. You want to uploads the zencart file to the store directory in your public_html directory on your web server. Your current web site should be loaded in the public_html directory (which is your root directory) and the store directory is a sub-directory of that. Once you have the cart upload to the store directory point your browser to www.nestbyswanky.com/store and the install should start.

I also agree with everyone do not use frontpage for development with php apps like zen cart. It will screw up way more stuff then you'll want or know how to fix.

If you don't have a public_html directory it could be one of the others you listed (httpdocs,..etc)