We can detect gravitational waves at a few points on the Earth. From this they can estimate the direction it came from by using timing and other information. The most sensitive experiment is called LIGO and is composed of two separate detectors, one in Washington state and one in Louisiana. The one in Louisiana is better than the one in Washington. There is also another experiment called VIRGO in Italy that is less sensitive but provides a third point to try to identify the direction of the gravitational wave burst event. See for example this plot which shows the region on the sky one real event is likely to have come from based on information from different sources. The green dashed region (HL) is what can be determined from the two LIGO detectors (Hanford and Livingston). The green solid region (HLV) is with VIRGO added in. The orange region is the directional information from a totally different experiment: the Fermi telescope in orbit around the Earth which measures gamma rays (photons). The gamma ray and gravitational wave signal happened at the same time and basically from the same direction so we're extremely confident that they are due to the same underlying physics.

The plot comes from here which has some code for playing around with these sorts of things. The paper for the plot is here.