We know it's in our brain because we don't think out of our butt.
I believe it was Rene Descartes who first realised what we take for granted today; and that is... I exist.
We know, somehow, that our mind is in our brain and our brain is in our head...
So what trouble Descartes I guess was, was the brain the organ for the mind, and what is reality. He deduced that, we're here, and even if there is something saying that we're here, even that, is a form of existence, so if you think you exist, then you are.
What if... I, ilikeitlikethat wonder, but, what if... He had a point, and the brain wasn't the mind but just a tool for the mind, then what if, we can live outside our bodies, what is the mind? It seems to be the one thing, that truely is you; your being here; otherwise, you'd just be a mindless thing.