Well, welcome! We share your grief about the end of the show but look forward to discussing the legendary sitcom with you in the future.
MITM was filmed in the CBS Television City studios in LA, California. It was filmed there rather than at Fox becuase the Fox studios were filled at the time. Outdoor scenes are filmed at the actual house, which really exists (see thread entitled "Location of the real house") near LA. Our member wando was lucky enough to visit it and snapped some pics.
Officially, we have no idea where the family lives because it was never technically revealed. If you add up all of the clues literally, there's no place possible; many of us here have sort of informally agreed it must be in Southern California.
We recently held a marathon on this site and plan to do it once more later in the summer. We'll stream each episode from Pilot to Graduation over the course of a couple of days--it's a great chance to see some of those old episodes you don't remember or ones you may have originally missed. However, no recording is allowed.
Welcome again and enjoy your time here.