I'm guessing he means your character's left.  <img src="/ubbthreads/images/graemlins/smile.gif" alt="" />  Though it's good to see an RPG not breaking the fourth wall for a change.  (Memories of PSOne games where medieval characters tell you to press ×,o,<,<,×.)   
I thought so too, but when I walked out of Gregor's the house was... AAAAAAARRRGH!!!!! #&@%(!  I'm going to quietly sneak out and try to learn my left from my right!!
 <img src="/ubbthreads/images/graemlins/shame.gif" alt="" /> Up until this moment, I was firmly convinced that house was on Nynaeve's right.... ~sigh~