The characters within the TV series "Game of Thrones" simply refer to it as "the world". At the start of the series in the very first show, the known world is said to consist of three discovered continents: Westeros, Essos, and Sothoryos. There are also numerous islands and archipelagos, including the Stepstones, Summer Islands, and Ib.

Most of the action in the fictional world occurs primarily upon a continent called Westeros, with one storyline occurring on another continent (Essos). Westeros is located in the far west of the known world. It extends southwards from the northern polar icecap for approximately 3,000 miles. Most of the continent is unified as a political entity called the Seven Kingdoms. The King on the Iron Throne in the city of King's Landing rules everything on the continent. Westeros is the most civilized and populated continent of the three. Most of the people live and die on this one key continent.

The continent of Essos is separated from Westeros by the Narrow Sea. It extends eastwards for many thousands of miles. It is larger than Westeros but less densely populated. The far eastern coast of Essos is unexplored, and it lies beyond legendary Asshai and the forbidding Shadow Lands.

Sothoryos is the third little known continent. It is located south of Essos, on the far side of the Summer Sea. It is a large continent consisting mainly of deserts and jungles. This area as part of the world is almost never mentioned.

More Info: en.wikipedia.org