You can set up a new location or edit an existing one by going to Inventory > Locations.
Click on 'New Location' to create a new Location or double click on an existing one to edit.
Note that the 'Site' dropdown menu is configured in App Settings > Location Types as explained in the article about setting up Sites and Locations. You can jump to the location types setup panel by clicking on 'Site Settings'.
Note that the 'Parent Location' dropdown menu is taken from other locations in case you want to create a hierarchy of locations.