The world of Azeroth is the birthplace of every race. Azeroth is composed of four major continents by the names of Kalimdor, Eastern Plaguelands, Northrend, and Pandaria. The Broken Isles were introduced later when the Burning Legion came along and disrupted the peace for both the Alliance and the Horde.
Picking a race may be difficult for you if you have no idea what you want. This video helps you decide.