The symbol with a circle inside is shown on the status bar at the top of the screen. To see hidden icons, tap the status bar.

To prevent any app or service from using your location info, select Settings > Location, then switch location services to off.

If you need more information about the icons on your Lumia, go to the Windows Phone support site, and then use the search field on this page to find the article: What do the icons on my phone mean?