When the processor wakes up after power on, it goes to a particular memory location. What is that memory location called?

When power is switched on , the CPU wakes up and makes chipset(mostly intel bases ones) to look for top 16 bytes of the first MB of the MEMORY where BIOS code is placed in compressed format.

NOTE: Additional info about booting process.

Then CPU decompress the BIOS code and BIOS code will get system settings (remember the BIOS settings we set at boot time in ROM BIOS) from chipset registers.Then BIOS configures the memory and copies BIOS code to RAM (shadowing). Then all the controller(SCSI,N/w cards,video card) BIOSes are shadowed. After this PCI bus gets initialized and basic devices required for computer to boot are given Interrupts and DMA channels.
After this we will see that memory counting screen which we get after starting our system.

Then BIOS executes the bootloader to load MBR(Master Boot record). Then Interrupt vector is created and OS is loaded.BIOS will be deactivated once OS gets loaded.