There is not a stated location for story. I'm not really keen on calling it a story either. It's more of an anthology of music by Michael Jackson. It's composed of a few short segments about Michael Jackson as well as long form music videos from his Bad album. Early in the film Wembley stadium is a location, so you could say that the film takes place there, but that is inconsistent with other parts of the story. New York City is the likely location of most of the story, especially the Smooth Criminal sequence with its emphasis on mobsters and a speak easy. The story is set in what was present day. That puts the story in 1988. Then again the Smooth Criminal segment seems to do a partial flashback to the 1920's. Lots of double breasted suits with fedora hats. The classic tommy gun appears as well. However, Michael Jackson also magically transforms himself into the 1970 Lancia Stratos. In other words, there isn't a super clear time and date setting either.