Earth

Earth. The third planet from the sun. The one, in fact, you are probably on right now, if you're not an Agent or member of the PPC in general.

If it is not explicitly set on another world, or another planet, or in space, or nowhere at all, it probably takes place on Earth.

The Earth we live on is part of the Real World, also known as World One, but there are enough different books that you can find many varieties of Earth throughout the Multiverse, which can be very much like our own, or differ totally. Alternate History is fun!