Field Map is where you match the fields you have with what is needed for the address locator. For example, my data file has the "From Left" information in a field that is called "FRADDRL", so that field is selected from the pulldown so the address locator knows which field in the reference data to use for that component. You repeat that for all the required components (those with an asterisk next to them), then any optional ones you want to use (note - the example image is not fully filled out).
Creating an address locator—Help | ArcGIS for Desktop
EDIT - added a more informational picture and more details.
Chris Donohue, GISP
Thank You so much.
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