In the short story "Games at Twilight" by Anita Desai, the larger setting is India. However, the more important settings shift from the house to the garden and then to the shed.

As the story opens, the children are confined to the house. The heat outside feels suffocating, but they are still begging their mother to go out and play. The mother finally gives in and allows the children to go to the garden. The garden is described as hot as well, with the "white walls of the veranda" glaring "stridently in the sun. The bougainvillea hung about it, purple and magenta, in livid balloons" (para 5). The garden is safe.

However, the children desire freedom, so the setting shifts outside the garden to the adult world. Outside the enclosure of the veranda, this world consists of brown, dusty shrubs, brick walls and compost heaps. When Ravi finally joins the children and decides to hide, he enters the outside world that finally results in his forcing his way into the shed, and the setting shifts once again.

It is in the shed that Ravi experiences fear because it was dark and spooky. However, it is also in the shed that Ravi feels triumph as he has outwitted the children by hiding and being undiscovered. Unfortunately, as he returns to the veranda to claim his victory, he discovers he has been all but forgotten even though he braved the gloom of the shed.

The setting of Anita Desai's "Games at Twilight" is tropical India.  The year is never established, but the story likely takes place during the time that Britain still ruled India.  The second sentence talks about having tea, which is a typical British activity.  The children also beg to play on the "veranda," which is also a proper British vocabulary word; however, the children's names are definitely not British, which is another reason that I think the setting is in India.  

Despite not being given a year, a reader can make an accurate guess as to the time of year that the story is happening during.  I believe the story takes place during the summer.  The opening paragraphs firmly establish that the weather is hot.  Not only that, but the heat is lasting into the late afternoon.  

I can be more specific about the setting location.  The majority of the story happens within a large, walled garden.  That's where the children play hide-and-seek.  The other main location is the shed that Ravi hides in.