The poem begins "Two roads diverged in a yellow wood". This gives a a good deal of the setting right here in the first line.
First of all, it is in the woods. We are also told that it is "a yellow wood", indicating the time of year to be autumn. We are also told in this opening line that the speaker is traveling on a path. This path leads to a fork, "Two roads diverged". We are also informed, later on in the poem, that it is morning. The speaker states that "both that morning equally lay/ in leaves no step had trodden black". So the woods are not highly used.
I'll assume you are talking about Frost's poem.
The poem's setting is in a forest. It is autumn in the poem, andthe trees are described to have a multitude of autumn colous, like yellow.