The simplistic way find a location. Make sure to view the full header so you can see their ip. for a full Run a tracert on the IP. To do this go to a dos prompt type tracert <IP>. Check up a few and see what it says. It's usualy blatently obvious. This may not work with spam cause unsolicited email is usually routed through proxies and unsecure boxes. Some isps use firewalls so it shows up as stars.
here's an example heres a tracert to aol.net.
the last routing went thru washington dc so theres a good chance that's where their ISP is located, or very near there.

15 113 ms 112 ms 112 ms p15-0.phlapa1-br2.bbnplanet.net [4.24.10.90]
16 116 ms 115 ms 118 ms so-0-0-0.washdc3-nbr2.bbnplanet.net [4.24.10.185

17 117 ms * 115 ms so-0-0-0.washdc3-hcr7.bbnplanet.net [4.24.4.114]

18 117 ms 114 ms 116 ms p1-0.aolash.bbnplanet.net [4.25.91.2]
19 111 ms 110 ms 110 ms bb2-ash-P1-0.atdn.net [66.185.139.213]
20 111 ms 110 ms 110 ms bb2-dtc-P1-2.atdn.net [66.185.152.34]
21 110 ms 121 ms 116 ms bb2-mtc-P9-0.atdn.net [204.148.98.254]
22 112 ms 110 ms 110 ms pop2-mtc-P15-0.atdn.net [204.148.101.214]
23 125 ms 118 ms 128 ms ow2-mc3-P0-0.atdn.net [204.148.102.182]
24 110 ms 110 ms 112 ms www-mc1-P0-1.rri.aol.com [64.12.129.14]
25 * * * Request timed out.

looking at a whois server will also give more information on the isp itself address phone numbers etc. Checking a whois (http://www.netsol.com/cgi-bin/whois/whois) database I searched for aol.net I picked this up. This confirms that aol is in virginia which is right next to Washington DC.

Registrant:
America Online, Inc.
22000 AOL Way
Dulles, VA 20166
US

Created on..............: Nov 22, 1999
Expires on..............: Nov 22, 2001
Record Last Updated on..: Nov 23, 1999
Registrar...............: America Online, Inc.
http://whois.registrar.aol.com/whois/

Administrative Contact:
Domain Administration, AOL
America Online, Inc.
22000 AOL Way
Dulles, VA 20166
US
Email. [email protected]
Tel. 703 265 4670

Technical Contact:
Domain Administration, AOL
America Online, Inc.
22000 AOL Way
Dulles, VA 20166
US
Email. [email protected]
Tel. 703 265 4670

Domain servers:
dns-01.ns.aol.com
152.163.159.232
dns-02.ns.aol.com
205.188.157.232