Exposition is simply the mode of writing to provide information. It is the text of the story that explains the plot. In "The Secret Life of Walter Mitty," the story opens with a description of a military flight in a storm. The episode is revealed to be a daydream that Walter enjoys while driving his wife to town. The reader quickly figures out that Walter is fantasizing about leading a more exciting life because of the narrative device of interspersing descriptions of the fantasies with the mundane reality of Walter's life.
The exposition of "The Secret Life of Walter Mitty" is just a description of how the story is told. The story alternates between Walter Mitty's rich fantasy life and his humdrum everyday life. One example of this can be found in the first two pages--Mitty is driving a ship through a storm, his crew loves him and has total faith in him. Meanwhile, in real life, he is taking his wife to a hair appointment and she is questioning why he is driving so fast. Where the Walter Mitty in the fantasy is getting his men through a hurricane, the real Walter Mitty is being nagged by his wife to wear his gloves. In the next scene, world-famous surgeon Walter Mitty is saving someone's life with a fountain pen, while in reality his distracted driving is annoying a parking lot attendant. This switching between fantasy and reality makes one really feel as though Mitty's life is boring and creates a sympathy for him, as he imagines more exciting things.