My ancestor came from Russia but the place has been forgotten

Yep heard that one before. Ready to start new life and often traumatized by the past experiences some people tried to forget their past. Their children born abroad did not quite had social-cultural background to seek or carry that knowledge further down.

So how do you find this out?
Start with the immigration records. If you live in America go to Ellis Island register for free and start searching. Make sure to look at scanned ship manifests. Do you best to decipher the handwritten records. Most of the Jewish immigrants passed through this port during 1881-1924 period. To maximize your chances remember the following: 1. The idea of spelling of one's last name did not exist. Use the phonetic spelling. 2. Towns names were often changed with borders, languages and sometimes were corrupted. 3. Maximize the geography. There are plenty of gubernia-level maps online. Spend some time to know at least the main towns within the uezd your ancestral shtetl belonged to. Trust me there aren't that many and it really pays off. Going back to Ellis Island. As the immigration requirements changed, ship manifests required more information about the passengers. Starting from the early 20th century ship manifests contain such invaluable information such as the nearest relative in the old country and name and address of the individual the immigrant was about to join. Together they can bring both worlds together, literally uniting the Old and New Worlds within a context of one family. And don't forget that nice picture of the actual ship. This is when genealogy comes alive. P.S. Make sure to also check Castle Garden and Steve Morse famous site loaded with tones of helpful information.