The story of A Song of Ice and Fire takes place mainly on the continent of Westeros. It is roughly equivalent in area to South America. However, there is a large amount of land to the far north that remains unmapped, due to the extremely cold temperatures and hostile inhabitants known as wildlings. The northern lands of Westeros are less densely populated than the south despite its roughly equivalent size. The five major cities of Westeros are, in order of size: King's Landing, Oldtown, Lannisport, Gulltown, and White Harbour.
Westeros was originally divided into several independent kingdoms before the consolidation of the War of Conquest. After this war the different regions were united under the rule of House Targaryen in what is known as the Seven Kingdoms. After it was conquered, House Targaryen divided it into four principal regions -- North, South, East, and West, and named one of its bannermen as the Wardens and Lord Protectors of each region. As of the beginning of the series, House Lannister is the Warden of the West, House Stark is the Warden of the North, House Tyrell holds the south and House Arryn holds the East.
Source: Wikipedia, "Westeros", available under the CC-BY-SA License.