When you die your spirit enters what we term as the spirit world, this is broken up into three places.
There's paradise for those who have accepted Jesus as savior, don't even need to be baptized to get there. The man on the cross next to Jesus wasn't.
There's a spirit prison which has two areas, in one part those who never had a chance to hear the gospel are taught and given a chance to bow the knee to Jesus. Then there is a place of despair where the truly wicked are left to "the buffetings of Satan" D&C 78. They remain there until they have paid the last farthing which will be when they finally bow the knee to Jesus.
Everyone will remain there until the second coming and the resurrection begins. All of those who have been baptized or accepted their vicarious baptism will be resurrected first and commence doing the baptism work for those still waiting in Paradise. Eventually everyone will have the opportunity to except or reject their baptism. On the final judgment day after the millennium the decision as to who goes where will be made. Those who reject the baptism will go into the Telestial Kingdom. Those who do accept will can either be sent to the Terrestrial Kingdom or the Celestial Kingdom. I believe this will be a choice we make. We imagine that the Telestail kingdom will be a place of beauty and peace. Those there will live as brothers and sisters, they will have access to Jesus as their Savior and King.
The Celestial Kingdom is seen as the place where God the Father lives and where over time we will become one with him,
"To him that overcometh will I grant to sit with me in my throne, even as I also overcame, and am set down with my Father in his throne." Rev 3
" He that overcometh shall inheritall things; and I will be his God, and he shall be my son" Rev 21