The Vikings came from three countries of Scandinavia: Denmark, Norway and Sweden. The name 'Viking' comes from a language called 'Old Norse' and means 'a pirate raid'. People who went off raiding in ships were said to be 'going Viking'.
According to the Icelandic sagas, many Norwegian Vikings also went to eastern Europe. In the Viking Age, the present day nations of Norway, Sweden and Denmark did not exist, but were largely homogeneous and similar in culture and language, although somewhat distinct geographically.
They did not call themselves Vikings. While we do not know exactly what they referred to themselves as, the term Vikings is a 19th century phrase. At the time of the Vikings, other nations referred to them as Norse, Norsemen and Danes.
Hoped this helped,
-Anime