To set location for distribution list, login to the MSPControl and click on Distribution Lists,
or go to Organization > Exchange > Distribution Lists.
You will see all Distribution Lists. If you have many, it might be a good idea to use Search form in the right to find the one you need. You can choose whether you want to search by Display Name or E-mail Address.
Once you found the list you were looking for, click on its display name.
In General tab scroll down a bit to select a location from drop-down list.
Click either Save Changes or Save Changes and Exit. The first option will leave you at this page, the second will redirect you to all Distribution Lists.
You can also change location setting for one or several distribution lists at once. Go to Organization > Exchange > Distribution Lists. Select the list(s) you need by checking the corresponding check-boxes in the left.
Then select Set Location in the drop-down menu Actions, and click Apply.
In the new window select a location from a list and click Ok.