First you will need to determine where in the world you would like to ship your items.
For a quick video overview of this area please go here
Next you will need to go here: YourDomain Shipping Zones
see screenshot:
You can see here that in this example there are 2 zones setup(United States & Canada). NOTE: setting up a zone DOES NOT setup any form of shipping to that zone. That will be done in the "Shipping Conditions and Methods" area after this is done.
Setting up multiple zones allows you to create separate shipping methods for each zone. If there are any countries which you do not ship to - then they should be left out of any zones that you create.
To create a zone, first type in a zone name:
(it is best to name the zone something that will be relevant to the area that you can easily identify later. Customers will not see this name)