To change your virtual location on Windows, please try the following steps.
Once the application is opened, click on the country located at the bottom of the app.
Once that has been clicked, you will be shown a screen with all available virtual locations. Click on the location you want to connect to.
Some countries have additional locations if you click on them. If you click on one of these, you can choose to either connect to a specific city in that country, or have the app automatically select one for you.