The location of Magic:The Gathering is called the multiverse, which is made of many world called planes. These world vary quite a bit in prominent colors, creatures living there, problems there and many other things that distinguish them. These planes are the playground for 99% of Magic's lore. In between the worlds is a space called the blind eterneties, and these prevent most things from moving from plane to plane, with a few exceptions. The most prominent exceptions are planeswalkers, powerful mages who can travel the blind eterneties. Planeswalkers are often human but can be elves, goblins or a whole host of other creatures. From here you can learn more about the individual planes.