Part of the way that the author uses setting in this story to create a pensive, melancholic mood is the way that seasons are used. From the title of the story it is clear that the seasons are crucial both to the development of the protagonist, Dexter Fletcher, and his ambitions in life, his "winter dreams." Note how from the first opening section of this great short story, the setting is used to create this melancholic mood which acts as a commentary on the hopelessness of Dexter's "winter dreams":
In the fall when the days became crisp and grey, and the long Minnesota winter shut down like the white lid of a box, Dexter' skis moved over the snow that hid the fairways of the golf course. At these times the country gave him a feeling of profound melancholy--it often reminded him that the links should lie in enforced fallowness, haunted by ragged sparrows for the long season. It was dreary, to, that on the tees where the gay colours fluttered in summer there were now only the desolate sandboxes knee-deep in crusted ice.
Clearly, the setting here plays a powerful role in establishing what kind of character Dexter is, but also creates the pensive, melancholic tone that hints at the futility of Dexter's "winter dreams."