The DCC series is designed to be setting-neutral. You can place them in Hyboria, Forgotten Realms, or anything you create on your own.
If you're looking for a setting, I recommend DCC #35: Gazetteer of the Known Realms. This is a "setting" that was constructed using the DCC modules. You don't need it to play, run, or enjoy the DCCs, but each module has a location in Aereth (the world of DCC) and most refer to some elements of that setting.
Re: Free RPG Day Punjar Book
That was Punjar: The Tarnished Jewel...it's a mini-gazetteer (not a module) all about the city of Punjar. You don't need it to run any DCC set in Punjar because (as I said before) they are designed to be world-neutral. If you want to use the city of Punjar in your campaign setting, I recommend picking it up, and I believe when you pick up Sellswords of Punjar, you get a comment card...fill it out, send it in, get a copy (print or PDF, I don't remember) of P:TTJ.
Re: Adventure Path
Well, that depends on what you're looking to do. There three modules already released or releasing soon: Isle of the Sea Drake, Sellswords of Punjar, and Forges of the Mountain King.
Each of these is a 1st level module that will be followed by others in the same vein...not exactly an adventure path in that they aren't necessarily sequels, but they take place in the same general area.
If your group wants to combat wickedness and ancient evils at the top of the world, I'd recommend Forges. If you want to have island-hopping adventures in exotic locations, I'd recommend Isle. If you want Leiber-esque urban adventure, I'd recommend Sellswords.
Hope this helps, and thanks for checking out the DCC line!
Co-Author: The Almanac of the Endless Traders, DCC #13, DCC #29, DCC #49, DCC #51, DCC #52, DCC #63
Author: DCC #55: Isle of the Sea Drake, DCC #61: Citadel of the Corruptor, more to come....