Regions are important in Drupal because they control where you can place blocks and thus create a layout for your site. However, each theme has different regions and it is not always easy to know where your theme's regions are.
Here's a quick tutorial showing you how to find the block regions on your Drupal 6 or Drupal 7 site.
Find Block Regions in Drupal 7
In Drupal 7, click on "Structure" and then "Blocks".
Click on the "Demonstrate block region" link at the top of the page. You'll then see all the block regions for the theme that is enabled for your site.
Find Block Regions in Drupal 6
In Drupal 6, go to Administer, then Site building, then Blocks.
Drupal will automatically show you all the block regions for the theme that is enabled on your site.