Add location(s) to user account
There is a way but it may not be ideal depending on how far you are along in your site development. The way you would link content to content is through the node_reference field that comes with the CCK module. The problem is that this doesn't work with Drupal profiles in 6.x, only nodes. One solution is to install the content profile module

http://drupal.org/project/content_profile

which allows you to create a new content type for your profiles. From there, you would just add a field of type 'node_reference' to your new profile content type and connect it to 'locations', and allow the user to make multiple selections, etc.

Of course this is less than ideal if you already have a significant number of profiles on the system but there is a migration path from the core drupal profile data to the new type in another module:

http://drupal.org/project/profile_migrate