Go to the "Profile" tab - Home, Help, Search, Profile, etc.
Then "Forum Profile Information" under "Modify Profile"
There is a spot for "location" ie city, state, country, etc. It won't show in your posts but if you click on someone's screen name, their profile info will show including location.
If you want it to show with your posts, some members enter their location as part of the "signature" which is also accessed as described above. There may be other places to put it where it will show like Web Title, YIM, ICQ etc if you don't use those spots for the intended purpose.
