If you are referring to the drop-down list of places in the Edit Individual and Edit Marriage screens, you will find that PAF stores the 25 most recent places. As you add new places the oldest ones drop off the list. This list takes up very little space in the program and is not part of your data file.
If one place is wrong, just input the correct info. The next time you start typing that location, PAF will fill in the correct info. The old version of the location will still be there until it drops off the list because it isn't used.
I also use it as a shortcut for entering other places. If I know that I have recently used "Auchinleck, Ayrshire, Scotland, United Kingdom" and I need to input "Old Cumnock, Ayrshire, Scotland, United Kingdom", I start by typing "Auch" and PAF fills in "Auchinleck, Ayrshire, Scotland, United Kingdom" and I just use the mouse to select the "Auchinleck" part and type "Old Cumnock" in its place.
This gives me "Old Cumnock, Ayrshire, Scotland, United Kingdom" with a minimal amount of typing. (Note that I am using is as an "auto-completion" feature rather than a drop-down list. I find it much quicker.)