Yes, of course, Vienna is in Europe, or in Austria, or along the Danube.
But the question I have in mind is a little more precise: Where is, exactly, a city? The answers are likely to come from some combination of our two good old friends from school, geography and history.
A first approximation would put the historic core of Vienna along the southwest banks of the Danube, framed by the Wienerwald hills to the north and the small Vienna River to the south. Not a bad defensive position, as the unsuccessful Ottoman attempts to capture the city (in 1529 and 1683) demonstrated.
At the beginning of the Christian Era, the Danube was the northern boundary of the Roman Empire. It had a number of defensive camps along its course, such as Aquincum, Brigetio, Carnuntum and Vindovona, this last one on the site of present-day Vienna. The characteristic square footprint of Vindovona's military encampment ("Castrum") was established at edge of what would become the Donaukanal (that is, away from the main course of the river to the north) shoehorned between the two branches of the Ottakringer Creek. The civilian settlement ("Canabae") around the Castrum extended pretty much to what is now the Ringstraße.
In the larger map, Vienna sits at a key point between Western Europe and the Black Sea. The Ottomans knew that very well.