You can answer this question both the place where you study, the name of the school or even the country.

maybe about location or name of school !

It wouldn't refer to the level of studies. The speaker could be asking about the geographical location ( e.g. in Germany, in Paris) or about the name of the specific school (e.g. Manchester High School).

Ok! Thank you.

It almost always means the name of your school. Unless the person asking the question knows you are studying in a different country, they almost certainly mean what school or university.