Meaning of "nonclustered located on primary"
This is the name of the filegroup or partition scheme that the index is created on. This can be specified when creating an index with a second ON clause.

The sp_help procedure calls sp_helpindex which retrieves the name from sys.data_spaces


  The primary filegroup contains the primary data file and any other
  files not specifically assigned to another filegroup. All pages for
  the system tables are allocated in the primary filegroup.


More info about Files and Filegroups here