I would like to know where my mail goes without a mailbox.

I have trying for months since we moved to our new place to get a mailbox. I would love to have one in front my house but I have to have one of those boxes in a row of boxes. Every time I order something it says it's be delivered to my mailbox. How can this be so if I don't have a mailbox ?? I extremely frustrated and mad at this situation but the USPS doesn't seem to care.