I am really confused on how I deposit my bitcoins.

I am on this gambling site, and it says I can deposit my bitcoins. it gives me a code / address, I just don't know how it can deposit from there to my wallet?

I am using a blockchain wallet. if there is a better wallet, that you suggest i would love to check it out. I am just confused on how to deposit my bitcoin i have earned into my e-Wallet.

any help / suggestions?

thank you.