There are at least a couple of different ways that you could answer this question, depending on what exactly you mean by "where."
If you are asking what city or town the demonstrations take place in, then the answer is that they take place in Jackson, Mississippi. Anne has gone to Jackson to study at Tougaloo College there. While there, she becomes more and more involved with civil rights until she finally participates in the NAACP's program of demonstrations and sit-ins.
If you are asking where in the town of Jackson the demonstrations take place, there are many of them. The first demonstration takes place in front of a J. C. Penney store. While the picketers are protesting there (and getting arrested) Anne and her friends slip into the Woolworths store. That is where they conduct their sit in. Later demonstrations took place all over the downtown area of the city.