The D&D core world is also called the Points of Light world. The concept is that civilized people live in small, isolated points of light scattered across a big, dark, dangerous world.
The world is in a time of great upheaval. Large empires like Nerath have fallen, and lawlessness and chaos thrive in their wake. Populations have been decimated by disease and violence. Dangerous creatures now inhabit places where civilized people once lived, and few roads are safe to travel.
The world we know is only part of the cosmos, and many other worlds enjoin ours. Some, like the Feywild and the Shadowfell, are quite similar to our world in many respects—indeed, they are said to mirror ours. Others bear little or no resemblence to the fields we know. People with Arcane knowledge may know of these other planes, and how one might be able to travel from one to the other.