When you follow your quest book to the letter at level 4 you'll have to search for a sector with the explorer.
The one that pops up is Sector 4.
The only way to claim it is by building a store house in that sector.
By sending the explorer a few times more the sectors: S2, S5 & S7 will be mapped as well. When you follow the quest book you'll get to the point you effectively start conquering other sectors. The easiest sector to start with is S2.