"The Most Dangerous Game" opens with Rainsford and Whitney, two hunters, talking on the deck of the ship that is taking them to their next hunting destination. They never explicitly say that they are headed to Brazil, but we are meant to infer this from their dialogue. Whitney states (in some fairly expository sentences) that unlike the dark Caribbean, Rio will be bright—by Rio he means Rio de Janiero, a city in Brazil. He then makes it a little more obvious by saying that they should have good hunting in the Amazon, which is a major river in Brazil.
Ultimately their destination is unimportant to the remainder of the story, since Rainsford falls overboard and washes up on Zaroff's island, and presuming that Whitney was unable to convince the superstitious crew to search the island, he guesses they probably continued on to Brazil.
They were headed to hunting ground where they could hunt more exotic animals.