It is impossible. Trust me. It defiest the laws of physics and maths which were derived by better men than you or I.

You need that 3rd point of reference.
This is what is impossible:
Imagine you're making a space game. You've selected the ship you want to make and you're looking at an empty void of space on screen and you want to click where to move to. That's impossible. It's hard to explain, but if you can agree that the mouse cursor onscreen is a 2D movement, and space is 3D, then you should be able to see that the 3rd dimensional position is missing.
There are three work arounds:
(1) Is have an object in the 3D world that you're clicking on. 3D space co-ordinates will be on that objects surface, or relative to this object. This means you can, for example, make a 3D RTS game where tanks are moving over a landscape. The reason this is possible is because the ground is the 3rd point of reference, and is used to figure out depth/distance from the 2D screen.
(2) The second method is to simply have a set equation or distance for depth-from-screen relative to camera angles etc. This is pretty useless because it'll be very limiting.
(3) The only way to get a true 3D co-ordinate in 3D space with a 2D mouse cursor is too use more than one input. It's impossible to derive the position with one mouse click, but it is possible to set a directional vector from the camera with one mouse click, then set the distance/depth with another mouse movement and click, or with cursor keys or something. That sets up your 3rd dimension.
Remember how I mentioned the box about. Well, moving the mouse is moving around on the top panel of the box. Clicking sets your position on the top panel. You need that second mouse movement, or cursor key movement to then tell the system how far to travel inside the box. Then you have your 3D co-ordinate.
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