Moving across locations
You didn't say which Pathfinder ACG game you are referring to. I will answer from Rise of the Runelords...but the rules are mostly the same for all of the games.


  When can we move to different locations in Pathfinder ACG?


The order of actions for a turn is:


give a card (to a player at your location)
move
explore
discard cards


You can do each one or zero times.

You may get extra explores, as you have mentioned, in many ways. There are a few powers &amp; spells that allow you extra moves. They tell you when you can use them. 


  Can we move several times per turn?


No. Unless you've used a spell or power that allows it.


  Also, can we move only in our turn? 


Yes. Unless you've used a spell or power that allows it.


  If a player needs help on his combat, can we move in his turn to his location to play some card that requires being in the same location?


No. Unless you've used a spell or power that allows it.


  Finally, what happens when a location is closed? Do all players there instantly move to a new location?


No.


  Or is the move done just when their turn starts?


Yes.

The default answer to everything in Pathfinder ACG is that you can ONLY do what a card says you can do. No more and no less.  And of course, you can do what is explicitly defined in the rulebook.

I found these FAQs very helpful:


Rise of the Runelords: http://paizo.com/paizo/faq/v5748nruor1gk
Skulls &amp; Shackles: http://paizo.com/paizo/faq/v5748nruor1gu
Wrath of the Righeous: http://paizo.com/paizo/faq/v5748nruor1h4