It's still unknown.
Where, exactly, is this place? How do paying customers catch the train? It's a nice touch that customers arrive in town along with hosts, but it's also confusing. It's a bit more clear in Michael Crichton's original flick, in which visitors travel in together from a real-world location via hovercraft and arrive at a futuristic-looking greeting area at an adult amusement park called Delos, where they are outfitted and then shipped off to one of three themed subsections: West World, Medieval World, or Roman World. Will the HBO series pull back to reveal the functional world outside the park?
As per CBredlow's comment, some of the mystery has been answered in the second episode. We know how paying customers catch the train.
We do know how paying customers catch the train, as in episode 2 we see people walk down a hall after they get dressed and cross a threshold into the bar car of the train into the town.
Just to clear up a few questions raised in the comments, the park is not virtual reality, but rather a physical facility.
Nolan told Entertainment Weekly all about the logistics of the Delos' maintenance facility.
"So the idea is that most of the facilities are underground," Nolan told EW. "We sort of pictured a 100-story building skyscraper that goes down instead of up, which for us was also a visual metaphor for the age of the park. When you’re in the older portion of it [far below the surface], the cold storage, it has been clearly repurposed from something that used to be more grand."