You'll probably get a better and more specific answer from the Steve when he has time, but here's what I understand.
The Fantasy Hero book won't be a world-specific book -- it'll be more like the D&D 3rd Ed Player's Handbook (plus the Dungeon Master's Guide). It'll let you build whatever fantasy world you want, or make whatever character you want. From what I recall of the vague description of contents, there will be example character packages (for Wizard or whatever), but they'll be something pretty customizable for whatever fantasy world you're running.
As far as specific world content (e.g. TSR's Greyhawk setting), I believe Hero is coming out with a separate setting book to cover that. I have no idea what their world will be like, although I gather that the free PDF describes their multi-genre Hero setting.
But the great thing about the Hero system is that you don't have to used the published material if you don't want to -- you can even use other source material for it. In fact, I had great success in using Steve Jackson Games' IST superhero setting using the Hero system.
Hope that helps!
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"I'm sick of chasing my dreams, man; I'm just gonna ask where they're going and hook up with them later." _Mitch Hedberg
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"In my experience, all the best plans end with the same five words ... 'and then, run like hell'."
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