Quote Originally Posted by Enjuden View Post
Where is this button?
It's not a button per se, it's a submenu option. Just need to pull up the submenu for your character on the selection screen (right click with a mouse, don't know what a controller user needs to press).

Probably would help to stress that you don't get to select the world. You'll be placed on a random world in your data center. Once you're in-game, you can use world visit to get to a specific world.