Usually locations are set to 'Product Default' tax rate by default but will pick up the default from it's HQ so if the HQ is exempt, new locations will also be exempt.
You can set the tax code of an individual location to be Exempt or to another tax rate in the location Tax Code drop down (add more rates in Admin>General>Tax)
If you want an individual location to be something different you can set this in:
Company > Customer > Location > Set Tax button
The set tax button is used to set the tax as a permanent rate, if you want to use the tax tables then you should NOT click this (so when you update the zip it will use the latest rate for the new zip code you enter).
