"We are in Russia."
Translation:Мы в России.
Russian nouns have several case forms. For the noun 'Росси́я', you can see them all here (click on the 'Declension of Росси́я' box; you probably won't need the plurals). It would take too much time to describe the functions of all the cases here, it's really better to learn them one-by-one as you progress through the course.
If you want to get a glimpse of the cases, you can look here (among other places).
It's a preposition like English 'in'.
The English 'are' (as well as 'is') is usually left untrasnlated in Russian in present tense.
It is prepositional. But feminine words with the ending "ия" (as opposed to just я like неделя) have a different rule where they take the form "ии". They are very common for countries (Россия, Германия).
You can always check all the cases for a word in wiktionary: