In electromagnetics you learn that an electromagnetic wave is a perturbation of the electric and magnetic fields that propagate in space according to the wave equation.
This makes sense when you are dealing with radio transmission: an electric current perturbates the electromagnetic field and this change propagates in space; when this perturbation meets a conductor, it will induce a current in the conductor and thus energy is transmitted. So in a vacuum you can easily identify the wave as the region of space where the $E$ and $B$ fields have a different intensity from the "background" (assuming an empty space)
However, when you are dealing with single photons as if they were particles, where are the located in space?
Let's say that a photon hits an electron and raises its energy level. Where would the photon "hit" the electron? Is it when the perturbance enters in a certain area of the electron orbital? Or when it exits? And most importantly, if another photon comes and hits the electron again, how can you differentiate between the two? And how can a photon be a "quantum" of energy if the wave is a continuous perturbation?
So, the mother question is: where is a photon located compared to the electromagnetic wave of which it is an expression?