This is a change that you can make by clicking on "My Settings" in the blue menu bar, above and to the left. On the next page, look in the menu on the left side of the screen. Click on "Edit Profile". In the next frame scroll down to "Location". Change it to whatever you want it to be, or delete it and leave it blank.
Then scroll all the way down to the bottom of the page and click on the button that says "Save Changes".