The Warzone is the area that extends approximately 800 blocks from the north, south, west, and east of the Spawn. It's possible to build structures in it, though they will be unprotected, as no Warzone land can be claimed by any faction.
The Warzone is quite possibly the most dangerous area of the world in general, as it's the highest traffic area. Many, if not all, players need to traverse the Warzone in order to reach the Spawn to sell coins and buy items. The Warzone also contains other attractions, such as the Temple and the Evil Mines, which serve to draw players into it.
As a result of these things, if they value their virtual lives, new players are advised to spend as little time as possible in the Warzone. They would be wise to use their PVP Protection in order to get as far way from it as possible.