It is important to consider the underlying philosophy of this chilling (in both senses of the word) short story. Jack London was a naturalist writer. Naturalists went beyond realism in an attempt to portray life as it really is. They were heavily influenced by the work of Charles Darwin and his theories of the survival of the fittest. Naturalism presents human beings as subject to natural forces beyond their control. This idea is at the centre of this short story.
Clearly the setting is linked to this overall message - the harsh, unyielding winter landscape is depicted as one that is infinitely dangerous for the unwise and arrogant traveller. London uses foreshadowing throughout the story to indicate the frozen end of the traveller, for example:
It was a clear day, and yet there seemed an intangible pall over the face of things, a subtle gloom that made the day dark, and that was due to the absence of sun.
Note here how this description at the beginning of the story hints at the tragedy to come through the double use of the word "pall" that hints at a funeral and the brooding, sinister sense of menace that is created. It is clear, however, that the man is unaware of this sense of danger - the environment that he has entered into that is unrelentingly hostile is taken for granted by the man:
But all this - the mysterious, far-reaching hairline trail, the absence of sun from the sky, the tremendous cold, and the strangeness and weirdness of it all - made no impression on the man.
Given the type of writing that London was trying to produce, that the setting is inextricably intertwined with the plot because it results in the man's death because of his arrogance and lack of respect that he has for Nature.