Ecto-Space was a pocket universe. A version of K9 and his Mistress travelled there from another universe, and helped to fight slavery and oppression. (AUDIO: The Choice, The Search)
Behind the scenes
Ecto-Space, as portrayed in BBV Productions' Adventures in a Pocket Universe series, was implied to be E-Space, and its characters the Mistress and K9 were implied to be Romana II and K9 Mark II following the events of Warriors' Gate.
Though BBV secured permission to use K9 from his creators and rights-holders Bob Baker and Dave Martin, they did not obtain the BBC's licence to use Romana, E-Space, and other elements of the Doctor Who universe. No explicit connections between those BBC-owned properties and BBV's counterparts to them could therefore legally be drawn.