Well, it seems an obvious point, but one of the clear themes of this novel, and indeed of all the series, is magic. If you want to think about setting, then there are ample descriptions for you to choose from that clearly show that we are plunged, like Harry is, into a new, exciting, mysterious and, above all, magical world where nothing is as we think it is and everything that we had taken for granted is now different. One of my favourite examples of this is a description we are given of Hogwarts:
There were a hundred and forty-two staircases at Hogwarts: wide, sweeping ones; narrow, rickety ones; some that led somewhere different on a Friday; some with a vanishing step halfway up that you had to remember to jump. Then there were doors that wouldn't open unless you asked politely, or tickled them in exactly the right place, and doors that weren't really doors at all, but solid walls just pretending. It was also very hard to remember where anything was, because it all seemed to move around a lot. The people in the portraits kept going to visit each other and Harry was sure the coats of armour could walk.
Here we see the theme of magic clearly established through the moving portraits and coats of armour and the wide variety of different doors that Harry is overwhelmed with as he seeks to find his way around his new school.