This exercise is in the key of F.  We know this because there is one flat in the key signature. 

"Do" is on the note F because the music is in the key of F.

To Begin, look over the exercise.  Then play the recording.  There will be a broken chord playing the Do Mi , So and top Do pitches followed by the starting note. 

Then, sing along with the recording using the Do Re Mi (solfege) words provided. 

Each solfege syllable represents a pitch.  This will be sung an octave lower than what is written.