Location Markers appear in the Location Marker ruler at the top of the Timeline. The "begin" and "end" markers appear automatically, but you can create custom markers at any position in a session.
Right click anywhere on the Location Marker ruler and select New location marker. Then move the marker to the current Playhead location by right clicking on the new marker and selecting Move Mark to Playhead.
It is also possible to create a Location Mark at the current playhead using the Editor List For details see Getting To Know the Ranges & Marks List.
To create a Location Marker at the current playhead location using the keyboard press Enter on the numeric keypad.
To create a Location Marker at the current playhead location using pull down mens select Transport > Markers > Add Mark from Playhead.
You can create a Location Marker at a specific location in the Timeline by moving the playhead to the specific location and then using the methods outline above.
Alternatively, a location marker can be set to a specific location by using the Ranges & Marks tab, using either the Use PH button to move a mark to the current playhead location or the clock to set a specific location manually.