How to go from Screen space to World space

I’m working on a small project for a class where I am trying to implement the wiimote using the available plugin. Currently I 'm trying to implement a control scheme much like many strategy games where the player clicks on a location to move a character from where they are to where they clicked.

Basically I need to figure out how to go from screen space to a world position. I know something like this must be possible using the the mouse since many games implement it yet I can’t seem to wrap my head around on a solid way of implementing it. If I knew how to do it with a mouse I have little doubt I could transfer it over to using the wiimote’s cursor.

Any suggestions?

and/or

This should get you started.