Conifer is a small town in Colorado, and is the place where Trey Parker, one of the shows creators grew up. The town of South Park is partially based on Conifer.
Conifer is first mentioned in the Season Five finale "Butters' Very Own Episode" by the Old Farmer at the gas station, where he tells Butters that Conifer is where the normal road leads to.
Conifer appears in Season Six episode "The Return of the Fellowship of the Ring to the Two Towers", where the Two Towers Video Store is located; the boys are on a mission to return Back Door Sluts 9 to the video store. Pornstar Butters seems to know where the town is.
Conifer is briefly mentioned in "Grey Dawn" with an AARP member saying "Reinforcements have arrived from the nursing home in Conifer."
In the Season Nine episode "The Losing Edge", South Park baseball team plays against Conifer and wins, while a drunken Randy beats the crap out of a Conifer father.