Fortunately, this question has an easy answer: wherever you want.
If you have a gym membership, you can do HIIT workouts at the gym. You can easily turn your time using an elliptical machine or treadmill into an HIIT workout.
The is also true for using weights.
The important thing is to make sure you’re careful to do all of your repetitions using proper form. Don’t let your desire to quickly do lots of repetitions become an excuse to use sloppy form.
If you like running, then you can turn part of your run into an HIIT workout by varying your speed during your run.
Of course, you can easily do HIIT workouts at home. For example, you can use the by Craig Ballantyne.
Look around here at HIIT-workout.com. You will find many articles about HIIT training methods and their application to various workout systems.
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