The same question could be asked about those who lived before Jesus Christ came to earth. Or what about those who have lived in parts of the earth where the Gospel has never been taught. 
 
The answer is a beautiful teaching revealed by the Lord through the Prophet Joseph Smith. We believe that those people who have not had the chance on this earth to hear and accept the Savior's teachings will have that opportunity to hear and accept it in the Spirit World after they die. An overview of the reason we are on the earth is here: http://mormon.org/plan-of-happiness/ 
 
There is so much more to this question. My short, simple answer doesn't do it justice.

The standards of the Church of Jesus Christ of Latter-day Saints are the eternal standards of Heavenly Father which have been instituted since Adam and Eve were forced from the Garden of Eden.  
 
Adam was taught these principals and was the first mortal holder of the Priesthood of God, this Priesthood and its standards, as we know though this Priesthood and the fullness of the Gospel has not always been known through the history of the Earth.  
 
The reason why we have area with no Priesthood Authority or the fullness of the Gospel of Jesus Christ, is because mankind has agency. We can choose to obey or reject Heavenly Father.  
 
When the prophets are rejected there is a period of darkness called apostacy. Moses came to restore Israel from the physical bondage of the Egyptians as well as the spiritual bondage of Apostacy.  
 
Christ did the same thing, he came to restore the truth of his Gospel to his people the Jews. After his atonement he also sent his Apostles out to preach the gospel onto the world Jew and Gentile alike.  
 
Those Apostles were ultimately rejected in the end though and the priesthood power and fullness of the Gospel was lost again, until the Restoration in 1830.  
 
Those who lived in the various periods of apostacy, lived without the knowledge of the law. Since they had no knowledge of the law they cannot be judged by the law, since there is no justice in that. Those who passed on with a knowledge of the fullness of the Gospel of Jesus Christ will also have the same change to hear it and receive it in the Spirit World, they also can receive all the ordinances of the Gospel and inherit eternal life in the Celestial Kingdom by accepting ordinances done by proxy in the Temple on there behalf.  
 
As I said Heavenly Father will not remove mankind's agency it is the one thing that is ours, everything else is His. Since he will not make men obey his dictates he works to provide a way for all his children to return to him should they so desire to do so and are worthy to do so.  
 
That is the blessing of Heavenly Father's plan, we can all return to him regardless of when and where we were chosen to live on this earth and experience mortal life.