What does 'the movie was set in' mean?

[Randa]

English Language Proficiency Tests, Advanced Level

ESL/EFL Test #586 "Real Life: Watching Movies (3)", question 8

When a movie is filmed in the same location the movie is set in and not in a studio, the directors can say that the movie was filmed ......... location.

(a) off
(b) out
(c) on
(d) with

English Language Proficiency Tests, Advanced Level

ESL/EFL Test #586 "Real Life: Watching Movies (3)", answer 8

When a movie is filmed in the same location the movie is set in and not in a studio, the directors can say that the movie was filmed on location.

Correct answer: (c) on
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What means that the movie was set in?

[Mister Micawber]

.
The movie was set in = The location where the movie's story takes place was
.
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Native English teacher at Mister Micawber's

[Torsten]