Where do scientists think that the first humans came from?
In the part of Jared Diamond's "Guns, Germs, and Steel," which is entitled, "From Eden to Cajamarca," the author addresses this question. The first chapter of part one is "Up to The Starting Line." Diamond attempts to compare the historical developments of various areas of our planet since 11,000 BC. He begins with the topic of man at the beginning and relates the genetic background from which most scientist have agreed upon.
"Our closest living relatives are three surviving species of great apes: the gorilla, the common chimpanzee, and the pygmy chimpanzee (also known as the bonobo). "
"...about 7 million years ago a population of African apes broke up into several populations, of which one proceeded to evolve into modern gorilla, the second into the two modern chimps, and the third into humans. The gorilla line apparently split off slightly before the split between the chimp and the human lines." (pg 36)
As the reader can summarize from this passage, most scientists agree that the homo-sapien is a direct descendant of the Great Ape.
Just to answer the "where" part of the question: the oldest fossils of early human ancestors currently available came from Eastern Africa (with "Lucy" / Australopithecus afarensis being from the Afar triangle in Ethiopia).
Proconsul dates about 23-17 million years ago, came from Western Africa, and may be the closest human / monkey / ape ancestor we have available. "Ardi" / Ardipithecus ramidus, a probable ancestor to Lucy was found in the middle Awash area of Ethiopia.
Newer discoveries are still being debated but come from eastern Africa as well.