I want to know how can I retrieve the location of every user when they visit my website. Are there any built in ASP functions for it.

Try here:

http://www.codetoad.com/asp_geoip.asp

Or possibly here:

http://www.aspfaqs.com/ASPScripts/PrintFAQ.asp?FAQID=179

What you can get is the IP address of the machine used by the visitor. From there you can find the ISP that issued the IP. This can provide a guess as to the location, but it may not be accurate. Any further info about the visitor would require a court order.