How do I go through my apple TV unit setup if I want to make a change?

You can change any settings for the Apple TV in the Settings App, but what exactly do you mean by "location setting"? If you mean you want to change the country for the iTunes Store your Apple TV accesses then that's not dependent on the Apple TV. That comes from the Apple ID being used for the iTunes Store.

Settings->Users & Accounts->"your name's" Account.

See here: Change your Apple ID country or region - Apple Support

In addition to the App Store and iTunes Store region as mentioned above, --

- You can set the time zone (to a nearby city), but not the location itself. Location Services uses your IP address to approximate your location, when called for (e.g. broadcast blackout).

- You can set the language of the interface to any of the supported languages, regardless of location.

- Siri is location based and language based, so that may be deactivated for some locations and/or languages.