To write a paragraph about setting, you must understand what comprises setting. Setting has two parts to it. Setting tells the physical location. Setting tells the temporal time. Sometimes setting can include nonessential background characters or even background animals. For instance, travelers milling purposefully through Grand Central Station can be part of the setting. Similarly, squirrels chattering and leaping among tree branches in Golden Gate Park can be part of the setting.
In "The Interlopers," the location of the setting is very clearly established for you by Saki's narrator:
In a forest of mixed growth somewhere on the eastern spurs of the Karpathians ... The forest lands of Gradwitz were of wide extent and well stocked with game; the narrow strip of precipitous woodland that lay on its outskirt ....
You can closely read this description, and the rest of the descriptive passages in the story, to get the details for the location, which is that of a forest setting. If you look up the Karpathians, you will be able to pinpoint the setting to the location of the exact country and sector of the country's geography.
The temporal, or time, aspect of the setting is a little harder. It is not stated directly but only inferred. The temporal part of the setting is in at least somewhat modern times because both men have "rifles," not muskets nor bows and arrows, both of which would infer earlier time periods. Yet, it can't be too modern because Saki did not set it in the future from his day and age. Since Ulrich has a "wine flask," we can infer that the setting is around the turn of the 20th century, either late 1890s or early 1900s.
A famous law suit, in the days of his grandfather, had wrested it from the illegal possession of a neighbouring family of petty landowners; ... and a long series of poaching affrays and similar scandals had embittered the relationships between the families for three generations.
When you discuss the setting, be sure to include the fixed setting Ulrich and Georg share. Also include the interlopers who intrude into the background (with the promise of becoming a main part of the upcoming action) like travelers in Grand Central or squirrels in Golden Gate: the interlopers add a new twist to the background of the setting that promises to become unpleasantness in the foreground of the setting.