From The Martial Arts Encyclopedia

Dojo, (道場, ) is a Japanese term that means "place of the Way". The concept of a dojo as a martial arts training place is a Western concept; in Japan, any physical training facility, including professional wrestling schools may be called dojo. As such it may refer to a formal training place for any of the martial arts.

More info: http://users.wpi.edu/~soma/dojo.html