In the very first Act, when we see the brothers together by themselves and they discuss their lives and what has been happening to them, Biff invites Happy to go West with him. Happy is certainly willing, and definitely feels attracted to the idea. However, note what he says to Biff eventually:
I gotta show some of those pompous, self-important executives over there that Hap Loman can make the grade. I want to walk into the store the way that [they] walk in. Then I'll go with you, Biff. We'll be together yet, I swear.
As the audience watches more of the play, they understand that Happy has swallowed his father's dream that any man can make themselves big in the city if they just have enough drive and commitment. Happy in particular, perhaps because as children Willy clearly favoured Biff, feels a real need to show that he can make a success of himself as Willy would have wanted him to in order to gain his father's approval. It is very tragic that even though Happy would probably be happier out West, his adherence to his father's dream keeps him in the city in a dead end job where he is only able to show his supposed "superiority" to his managers by sleeping with their wives.