Low hanging fruit: filming locations
When I talk to many of my film maker colleagues many of them stress about about how they are ever going to make their film which is set in an upscale restaurant, a space station, or a wild west saloon. My solution is start with low hanging fruit. Your location is probably going to be the most expensive, and permit/insurance heavy part of your production, so why not look around your immediate locale and figure out what locations you could get for cheap or free? Can you tell a compelling story in a parking lot? How about your kitchen? A finished film that takes place in a driveway is better than an unfinished film that takes place in a castle, which never gets made. "Do what you can with what you have where you are." - Theodore Roosevelt
We made our short comedy film, "Don't Jump" in a university parking lot walking distance from my house. Flashy locations can be nice, but if thats what's stopping you from making your film then my advice is to make a different film. Best of luck.