In "To Build a Fire" as a whole, how do the setting and theme reinforce each other?
The impressive and awesome setting of this incredible story is of course inextricably intertwined with the theme of the tale, which points out the frailty of humanity in the face of the might and power of nature. The anonymous protagonist (which itself supports the theme of how insignificant man is when compared with nature), in his attempts to reach the camp and his arrogance and belief that he can make it in spite of the intense cold and the "intangible pall" and "subtle gloom" in the otherwise "clear day," crucially ignores instinct and all the signs of nature that tell him not to venture out, which is, ironically, what ensures the survival of the dog, a creature of "instinct."
In particular, note what we are told about the landscape, and in particular the cold, and the impact this has on the man:
Fifty degrees below zero meant eighty-odd degrees of frost. Such fact impressed him as being cold and uncomfortable, and tha was all. It did not lead him to meditate upon his frailty as a creature of temperature, and upon man's frailty in general, able only to live within certain narrow limits of heat and cold, and from there on it did not lead him to the conjectural field of immortality and man's place in the universe.
This passage in a sense reveals the theme of the story and how it is linked to the setting. Everything about the intensely cold, barren landscape that the protagonist is about to enter reinforces man's "frailty," yet this is something that the protagonist is blind to. It is this blindness that ends up costing his life.