Knowing Your Geography - part 1

While living in the Russian Empire Jews were limited to the west-most portion of it known as Pale of Settlement. Today this territory makes up four countries: Lithuania, Poland, Belarus and Ukraine. (Ironically no Russia made this list).
Empire was divided into Gubernias as per map below. Next step is to figure out which Gubernia your earliest ancestor came from and which of today's countries it is now part of. This would determine the archive which likely contains the information you need.