The World Map is the thing that can be used to access other parts of the game you have accessed before. World Map's a little different than the way it is in other games. Locations you can't access but are accessible are marked with red dots. Locations that you can access are marked with blue dots, you can click on the blue dot that leads to another map and instead of having red dots on that map, a part of the map will be crossed with an X and that location is the part you can't access. You can access it after progressing through the story a little more. The World Map is accessible once you escape Fowler Prison and get to Fowler Town. Jim will give you a tutorial on it once you enter the town.