The Void is a another plane of existence where Janet and possibly other Janets, good and bad, reside.
The Void is a place, or more accurately a non-place, where Janet resides. It is described by her as a 'boundless, barren nothingness'. When she creates Derek, it is where both of them live together.
Janet can move between The Void and her assigned neigbourhood at will, but does not have the power to move directly between The Void and other locations such as The Medium Place.