Step 1: Understanding the Concept:
The question asks for the definition and location of the "third level" from the story of the same name. It's important to distinguish between the protagonist's perception and objective reality.
Step 2: Detailed Explanation:
The third level was not a real, physical place. It was a product of the narrator Charley's imagination and stress. For him, it represented an escape to a simpler and more peaceful time—Galesburg, Illinois, in 1894. It was a "waking-dream wish fulfillment." According to Charley's account, this imaginary level was situated at the Grand Central Station in New York, which in reality only has two levels.