Any address you control (not exchange, because your exchange address for ETH is specifically for your ETH) created with a downloaded client or myetherwallet will work. The program you use to access it is just the program, the address itself can have any ERC20 token sent to it, and you can always view it under the token tab if you search for the address on etherscan.

The reason you don't want to send ERC20 tokens to an exchange ETH address is, the tokens will likely end up there fine, but no staff is going to go through the hassle to return it to you when they specifically say 'only deposit ETH into this address' etc.