Although understandable, it would be more naturally phrased as:

"The neighborhood of Al-Masba is located in the Western part of the city of Taiz, in Yemen".  

If you wanted to use the construction "one of", you have to phrase it as:

"Al-Masba is one of the neighborhoods of the city of Taiz, in Yemen.  It is located in the Western part of the city."

In this case, "neighborhoods" is in the plural and you don't need "the" in front of "one".  Also, because "It is located in the Western part of the city" is a complete sentence, it should be separated with a period and not with a comma.