The Second World is where the Faerie King rules from and where the faeren can dwell safely in isolation from men. It can only be accessed through certain secret doorways. These doorways are cleverly disguised and heavily guarded by the faeren. The way to open them is also a secret, entrusted only to some of the faeren.
Protective enchantments limit the amount of time non-faeries can spend in the Second world. If a human enters the Second World but does not leave before sundown, he cannot leave without dying.
The Second World is apparently impregnable, since Nudd the Chestnut King showed confidence that he could remain uninvolved in Henry's battle against Nimiane and be perfectly safe in the Second World from her. However, this safe haven is kept a secret from the vast majority of the faeren, who look to the Faerie Queen as their leader.
Fat Frank is one of the few faeries who knows about the Second World and the Chestnut King. Especially because he becomes the Chestnut King when Henry passes the title to him.