So when you ask where they fight, do you mean where in the scene (as in what line) or do you mean where they physically are?
As for the physical setting, they are in the castle at Elsinore. They are in a hall in the castle. It has been set up as if for a banquet with torches and food and drink.
As for where in they scene they fight, it is towards the end, since they will both be dead at the end of the fight, along with many other people. In the eNotes version of the play, their fencing bout starts around line 245 or 250.
In act 5 scene 2, when Osric reports to Hamlet that King Claudius has wagered that Hamet will win against Laertes in a fencing match, Hamlet and Horatio are in a hall in the castle. We can assume that this would be the great hall, since that was the typical location for major events during the Middle Ages in such a castle as Elsinor. Hamlet tells Osric, “Sir, I will walk here in the hall…Let / the foils be brought…/ I will win for him if I can.” Hamlet means for the king to bring the match to his current location in the hall. This would make sense, as they would need a large room to provide sufficient space for not only the match, but the audience.
Shortly after this, the stage directions inform us that a number of people “[E]nter,” carrying items for the match such as foils, daggers, wine and cushions. The names of those entering do not include Hamlet or Horatio, suggesting that they are still present in the hall.