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With your 18-200mm lens:
First of all, a larger DOF means more of the background is in focus while a shallower DOF means less of the background is in focus.
Some zoom lenses have a minimum aperture range that changes depending on how much you zoom in. Generally the biggest aperture is given when the lens is zoomed out. This will give you a shallow depth of field
You particular lens has a minimum aperture range of 3.5 to 5.6.
This means the minimum aperture you'll be able to get is 3.5 when the lens is fully zoomed out at 18mm. If however you want to zoom in the minimum aperture will go down to 5.6.
If you want a larger DOF you will be able to use a small aperture such as F8 through all the range of your lens. So it doesn't matter if you zoom in or out. (in terms of DOF).
But if you want a shallow DOF then the best result will be achieved when zooming the lens out as this will enable you to use the bigger 3.5 aperture.
Other lenses like the 70-200 have constant minimum aperture. But this makes them more expensive.
I think you might of been confused by some photographers who use telephoto lens and stand back. They do this to avoid distortion that occurs at shorter focal lengths; not to achieve a larger DOF.