It's in the beginning of the Prose Edda. It's part a genre one could call "universal history", which is tying your group's history into the narrative of the world. It was pretty common in medieval Christianity; I'm not sure if places like Japan or Vietnam tried to tie themselves into Chinese mythic history. It makes some things like the Book of Invasions (Irish) make more sense, because historically Ireland being invaded from Spain en route from somewhere in the Mediterranean seems really unlikely. But if you're going to tie yourself into the biblical narrative, you've got to somehow get yourselves from the Mediterranean to wherever you live. In the case of the Icelanders (the Eddas), the way this was accomplished was to say that Odin et al were not gods but came from Troy, with a stop somewhere in-between (if I recall correctly), and over time came to be worshipped as gods.