Location in Midgar
The Sewer is an area that you travel through briefly very early on in the story. The Sewer is a section of Midgar that eventually leads to the Train Graveyard.
The game takes you through the Sewer after you finish with the events at the Wall Market. Don Corneo will trigger a trap door that throws Cloud, Tifa and Aeris down in to the Sewer. They will eventually re-emerge in the Train Graveyard as mentioned above. Check out the Sewer / Train Graveyard walkthrough page for more information.
The map below shows the location of Sewer (which can be found in Midgar) on the World Map: