On Earth, Xur stands high at the top of a cliff at Winding Cove in the EDZ. To find Xur, spawn into Winding Cove and move up toward the top of the area marked on the map.
Xur is now standing above you on a cliff. The quickest way to reach him is to jump upwards on the nearby ledges and foliage. When you reach the top, Xur will stand there, ready to sell you some exotic loot!