We are not told where the Lake of Fire is, but it exists and is a place of everlasting condemnation and punishment. According to the Word no one is presently there, and the Political Beast and the False Prophet will be the first ones cast in there; then later Satan will be cast in forever. After the Great White Throne judgment, all the souls presently in Hades (Sheol) will be sent there forever. That is about all we know from the Bible about it.
Some Bible students suggest that the subject is symbolic and "Lake" means a place of confinement, rather than what we think of as a lake. The "Fire" always means judgment in Scripture, and so the thought is suggested that it is a confined place of everlasting punishment in degrees for different kinds of wickedness in life. I know of no scripture to support this, but it kind of sounds plausible at least.