From the definition of the Interstellar Medium, we learned that the interstellar medium is the material that is found between the stars. This material is found throughout the universe, though it is concentrated within the galaxies, with very little found in between galaxies.
Typically, the density of the interstellar medium is so low that it is not so easy to see or detect, but sometimes, it clumps together to form nebulae and other large-scale bodies. This page includes an image of our galaxy in the infrared, and you can clearly see where much of the interstellar medium in the Milky Way is located.
Some of the material has flowed into our own solar system. This fact brings the interstellar medium -- a relic of the beginning of our Universe -- close enough for us to examine directly with space probes such as ACE, AMPTE, SOHO, Ulysses, and Wind.