Earth. The third planet from the sun. The one, in fact, you are probably on right now, if you're not part of the PPC or from a canon set on another world.
If a story 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!
If you need more information about World One Earth, there are better places to find it than here. That other wiki, for starters.