What I saw is that it generates a huge world. Can you "go" anywhere on that map once you started playing?
Yes and no.
In Fortress mode (the most common mode of the game) you can start where ever you want, barring water and other people already living there (cities, towers, etc.). You can also die very very quickly on some of those places.
If you then abandon that fort you can start a new one in the same world at a different position. However each fort has a limited space to play in (otherwise you'd get no FPS)
In adventurer mode you could, conceivably, walk from any point to another point, it will however take a long time (and probably get you killed in the process, by you I also mean you the player, by old age, Dwarf Fortress can create some very large worlds).
In Fortress mode: You can, with a few restrictions, embark anywhere on the generated world map. When you embark, you choose the "size" of your embark area (3x3, 4x4, et cetera). Once you embark, you play within your chosen area of the world and can't leave it without starting a new fortress. Certain sites, like those covered entirely by ocean, or already occupied by existing settlements of other civiliations, cannot be embarked upon without hacks.
In Adventure mode: Sure, if you can survive long enough to get there.