The Windows Phone Store (formerly known as Marketplace) location definition depends on your Lumia Windows Phone version as below:
Lumia with Windows Phone 7:
The country of your Microsoft Account (Windows Live) ID specifies the Store location, and to change it you need to move your Microsoft/Xbox Live account to the new region. Maximum one move every three months is allowed. To do this, sign in with your Microsoft account at the Region Change page.
Lumia with Windows Phone 8:
The location of Store is based on your phone's Country/Regional settings. To change the location:
1. Go to Settings > Language+region and then select Country/Region. 2. Tap Restart phone button. 3. The new Store settings will become effective after the phone has been rebooted.