Well, the central and most obvious feature about setting that you will want to compare is that the novel is set (mostly) in Africa during colonialism, whereas the film is set in Vietnam during the war. The rest of the differences in setting extend from this central fact. However, what is important to realise and to comment upon is that, actually, F. Coppola made an excellent choice in terms of picking the Vietnam war as a backdrop to the action of the novel. He uses this setting to comment on the often surreal madness that dominates during the Vietnam war. One of my favourite scenes is the playboy scene when three girls are brought to dance for the troops and entertain them. This is one of the most surreal scenes of the entire movie.
Other differences you might want to think about are the settings before the Marlows embark on their trips - in the novel Marlow is in Europe and we see colonialism from its "respectable" side in terms of the Company offices. In Vietnam Marlow is in army-owned territory and likewise we see the American army from the inside as he is given a briefing meeting from top Military officers concerning his mission.