Pick the location based on two factors, Azure Data Factory is not available everywhere so you are limited to use only the ones where it is available. If you pick one where it isn’t available, you will get an error message letting you know why you cannot create the resource. Whenever possible within Azure to pick the same resource where your data lives. There are charges within Azure if you migrate data across resources and no charge if you stay in the same resource. You may want to go look at where the data lives which will be used in Data Factory before deciding where to put it. I always check the Pin to Dashboard option so that I can find the resource later, but it is not required and can be done later. Click on the create button to create a Data Factory Resource. If you have selected Pin to Dashboard you will see a little window which says Deploying Data Factory. This little window goes away once Data Factory is completed, and you will have an entry in the list of resources for Data Factory.
Read the whole thing if you’re thinking of getting started with Azure Data Factory.