The Location field is polled via SNMP. Microsoft TN says you need to open Computer Management, expand Services, right-click on the SNMP service, and the Location can be entered on the Agent tab.
http://technet.microsoft.com/en-us/library/bb726987.aspx
What I find amusing, is that on my Solarwinds servers running Server '03, even though I have SNMP service running and we are polling, the service doesn't show up in my Computer Management/Services list. Haven't been able to figure that out yet.
Romeo