It's a very involved game. You're managing all aspects of a baseball franchise, from setting budgets and signing free agents, making trades, drafting players in the mid-season amateur draft, developing prospects through five levels of minor leagues, making trades with other owners, etc.
Yes, you can pick whatever stadium you want provided that (a) nobody else in your world is already playing in that stadium, and (b) it geographically "fits" in the division your franchise plays in (North, South, East, West).
Check out the "Significant User Posts" thread for info on stadiums and the divisions they can be used.