What is located west of Russia?

Many would say, Europe.
Of course, there is a problem with that answer, because, geographically speaking, Russia occupies a large part of Europe (also a large part of Asia). To avoid this ambiguity, you can say, Western Europe.

Again, some might say that between Western Europe and Russia, there is Eastern Europe. These divisions are more political and historic than geographic.

To be 100% sure, one would have to start naming the countries that are immediately to the west of Russia, such as Ukraine, Belarus, etc.