You can set your location from the User Control Panel (link is at top left of every board page). When the UCP opens, there are a bunch of tabs along the top. You want Profile. Once that opens you should see the Edit Profile page (if not, choose it from the options shown along the left hand side). Profile lets you share lots of information which will appear on your profile page (you can view users' profiles by clicking on their username at the top of their post). Location is one of the items there -- it also appears (as you'll have notice) underneath your avie when you post. Hope that helps! Let me know if you're still having trouble.
“When did you ever promise to kill yourself falling out of Charlie’s tree?”