Most magazine covers have the same general lighting setup. There are several variations, but for the most part it's all the same. Put the model in front of the camera, set up 1 to 5 (or more) lights, or however many you feel like metering, up all around you and your camera lens and shoot. Fairly simple process.
If you would like to understand this lighting better, go to any magazine rack and look at the catch lights in the models eyes. You will see 1-4 little white circles in most cases. Compare one magazine cover with 1 or 2 lights to another cover with 3 or 4 and look at the overall difference in how the shadows are laying on the model. It will start to sink in better the most you do this. (Yes, I do this and have for years!) Chances are a few covers won't make much since due to all of the retouching going on. Dang those retouchers! :D
Where are these magazine cover type of shots taken anyway? Well, I don't know. But, I'd imagine some big awesome studio with lots of rad toys that I would waste too much time playing with!
As in my last post this image was also shot on a hotel wall, with a single strobe, and a soft box. Obviously the light positioning and posing was much different due to different models, different clothing, and my ability to become bored quickly and change things up!
This image is of Summer Taylor. She has fantastic features and amazing curves! When she came out in her dress it screamed magazine cover to me!