Where had Gatsby met Daisy, according to the story he tells Nick?

According to what Gatsby tells Nick, he met Daisy during
World War I.  He was stationed at a camp near to Louisville, Kentucky.  That was the
city where Daisy (and Jordan Baker) lived.  While he was there, he and many other of the
officers at the camp would come into town.  Many of them were very interested in
courting Daisy.

Daisy and Gatsby were really quite
interested in one another.  But she ended up rejecting him because of his lack of
money.  This was why he became so obsessed with making money.