If you'd like to specify locations for behaviors assigned to students, start on the Configure page and click on "Edit Locations".
This will bring you to the Locations page, where you can see a list of your existing locations, along with the option to make them available to all schools (if you have a multi-school network). From this page you can also use the gear menu to edit, duplicate, or deactivate existing locations.
To add a new location, click on the green "Add Location" box at upper right, and configure the location as you please.
Click "Save" when you're finished and you'll see the location appear not only on the original Locations page, but also in the dropdown "Location" menu on the Behaviors page.