It is in Finland, Savo region.
It is not far. If you go from Helsinki by car, you will need to get E75 and #5 highway to Mikkeli and then on #14 highway to Savonlinna itself. There are also buses and railway trains from Helsinki to Savonlinna.
From Saint-Petersburg, Russia, the trip will be shorter. You'll drive to Lappa (Lappeenranta) or Imatra by car or by bus and then with the help of #14 highway you're welcomed to Savonlinna just the same.