That sentence or similar is from Skyrim. You talk to npc who gives you a quest and marks the location on your map. Simple? Few thoughts about fantasy roleplaying games.
I like games where there is a map. But map is more empty than filled. Naturally main locations are there what GM has written pre-game but otherwise it's a sandbox where GM can fill things. For example in Skyrim you see major locations but when you travel from A to B you can find one or even several different locations. Smaller villages, farms, dungeons, camps etc. etc.
So, in roleplaying game you give players rough map of the game world or area their characters are in. Little details or bigger places you can fill up later when player characters discover them. That gives GM freedom that not every thing is set in the game world and you can add things up as you like.
Let's say, player characters are in a major city marked on map. They talk to people and jarl (Skyrim inspired as this is related to Skyrim) tells that city's mine has a problem with spiders (basic fantasy rpg adventure, isn't it). He marks its location on the map (and GM marks it on players' map. New location added.
Also if players travel from A to B they can find locations in between. Small hamlets for example.
This kind of sandbox gaming is fun, as while playing their characters and doing quests the world is a big playground to explore. Also productive GM can make locations pre-game and mark them on his secret GM map to be discovered or GM could even describe locations but put them in places during the game. For example players walking in wilderness and GM wants a bigger encounter. He shuffles his notes and decides to put his Fang Tower there, where evil necromancer cult is known to be. Just a random encounter. With a tower. And now it is a location, part of the map and game world also.
Now it is easy to use that random encounter Fang Tower. After clearing it from bad necromancers players might find a note or a book what gives another quest. Or they might re-visit it later in different business.
Basically what you need is to draw a map. With rivers and lakes. Mountains and deserts and what ever suits that location or world. Then you need to work with main cities and other big generally known places. These could be more or less detailed. With less detailed ones you might want to use some of the several create-a-city toolkits from RuneQuest Fantasy Cities (what's it in English?) to Vornheim Complete City Kit. With Vornheim's help you can even create a city while characters are there.
And also using pre-made quests is easy in this kind of map/world. Just put the place or places of the adventure where you see fit in your own map. Your map can be mixed with Glorantha, Middle-earth, Old World etc. but still it is original and fun to discover.
And with a map/world like this gives you as a GM more freedom and less stress. You don't have to write every detail creating a world. You can fill it up later. Get a neat idea for history during the game? Let players find that detail from books or someone to tell them and so on.
If you start to GM your own sandbox world you need some details to start with. Maybe only one area where characters start. Or whole place can be unfamiliar if players aren't not local at all. Take Elder Scrolls series for an example here.
Some players and GMs might want to have their gaming world deep and detailed, but sometimes it could be fun to explore and fill it up while gaming. Also it can be fun to GM to be creative also during the game and instead of using half a year creating a game world you can create details to it in between game sessions. Last session ended when player characters were travelling to a desert city. Create surroundings, some interesting places etc. there focusing on it instead of whole world. Players are heading to deserts not to the mountains, so mountains you can keep untouched as players are not going there nor are familiar with the area. Or you can naturally create in one evening some place to mountains, some to desert, few smaller cities, tavern to marshes, a couple of random encounter places to be used later etc. what ever inspires at the moment. And if you got a neat idea for a location but don't know where to put it create it and place it later!