There is no single, overall "setting" for The Last Lecture, since it is a non-fiction book about cancer victim Randy Pausch's last months and an expansion of the literal "last lecture" that he delivered at Carnegie Mellon University. In that sense, the setting could be said to be "in Pausch's life," or at the actual lecture that inspired the book. As the book goes into far more detail about Pausch's life than the lecture itself did, that can be said to be a better candidate for setting; if speaking about the lecture itself, titled "Really Achieving Your Childhood Dreams," the setting would be the McConomy Auditorium at CMU.
Pausch spent his last months with his family, preparing for the lecture and trying to acclimate his children and wife to the idea of continuing after his death. They moved to Virginia, near his wife's family, where they continue to live. Throughout the book, Pausch explains how his childhood and life informed his later decisions, and his interactions with his wife are arguably the most emotional portions. Pausch intended the book to be a celebration of life, not a condemnation of death, and so he invites readers to remember the positives in their own lives. The setting of Pausch's entire life, instead of an isolated portion of it, allows the reader greater revelations about his attitudes towards life. Pausch refused to be suppressed by his cancer, giving versions of his talk until his death, and even appeared in the 2009 blockbuster film Star Trek.