They face The Kabba which is IN Mecca.

From Wikipedia

Qibla (Arabic: قبلة‎ ​) is an Arabic word referring to the direction that should be faced when a Muslim prays. Most mosques contain a niche in a wall that indicates the qibla.

The Qibla has importance to more than just the salat, and plays an important part in everyday ceremonies. The head of an animal that is slaughtered using Halal methods is aligned with the Qibla. After death, Muslims are buried with their faces in the direction of the Qibla.

History of the qibla

At one point the direction of the Qibla was toward Baitul Muqaddas, Jerusalem (and it is therefore called the First of the Two Qiblas), however, this only lasted for seventeen months, after which the Qibla became oriented towards the Kaaba in Mecca. According to accounts from Muhammad's companions, the change happened very suddenly during the noon prayer in Medina. Muhammad was leading the prayer when he received a revelation from Allah instructing him to take the Kaaba as the Qiblah (literally, "turn your face towards the Masjid al Haram"). According to the historical accounts, Muhammad, who had been facing Jerusalem, upon receiving this revelation, immediately turned around to face Mecca, and those praying behind him also did so. Some skeptics argue that the change was political in nature and resulted from an argument with the Jews of Medina.[citation needed]

The Qibla, for any point of reference on the Earth, is the direction of the Kaaba. Some Muslims from North America determine this direction using a rhumb line, while most Muslims worldwide use a great circle. In Muslim religious practice, supplicants must face this direction in prayer. Muslims do not worship the Kaaba or its contents; the Kaaba is simply a focal point for prayer.

In ancient times, Muslims traveling abroad used an astrolabe to find the Qibla.