Forgotten realms, IE: Toril, more specifically the continent of Faerun, even more specifically in or around WaterDeep, or the Swordcoast. I would explain to Khelben(this is BEFORE the 4th age, not interested in going there during or after the Spell Plague) how I got there and how I desperately want to learn magic from him.
If I was turned down, I'd work hard, earn some coin and be taught swordplay from several different tutors, so I knew the ins and outs of several different styles, and incorporate them into my own style.
After I did either of those two, I'd go out and explore the world, the deepest forests and caves, maybe even some of the Underdark. Once I had enough money, I'd live a life of luxury. That or pay Elminster to create a portal to send me back home and bring the gold back over here. Though, not sure if I'd WANT to come back to earth. Tech is great, but Magic is better ^^