The Mythworld is a fantasy world with no name. It's not earth, it's not another planet in our universe, it's a completely different, alternate universe in which the laws of physics as we know them don't neccesarily apply, and there are magic and gods, and the only similarities are that Newtonian physics still (usually) apply and there are Humans and other Terran animals. And some of the Human culture is similar to Terran-Human culture.
The map of Myth as we know it was all created by Wyrd, except for Tharsis which was a wound inflicted by Nyx. To the east are all sorts of dark and untamed lands, and across the western ocean is rumored to be another continent of pure light. Nothing is known to be to the north or south. Everything off the map as we know it is considered by many not to really exist, because it was not a part of Wyrd's vision from the One Dream. Hence the edge of the map is the "edge of all", beyond which nothing really exists, though you can walk over there and touch things and such.