Setting is the time and place in which a story occurs. Sometimes settings are directly stated, other times the reader infers the setting from clues in the story. In the story “The Open Window,” by Saki, the setting is not specifically described or stated. We know that it is in a country area because it is referred to early in the story as a “rural retreat.” We also know that it is on a “moor” which, according to The Free Dictionary (an online dictionary), is a “A broad area of open land, often high but poorly drained, with patches of heath and peat bogs.” We also know that people go hunting nearby, based on the story that the niece tells Framton Nuttel.
The fact that the house has large windows that can be opened and walked through tells the reader that the people who live there are probably pretty well-off. That’s not the kind of thing you’d see in a simpler house.
Although this isn’t a lot of information, it’s really all the reader needs. We can assume that the story is set in the period of the writer’s own life (1870-1916) since there is nothing in the story to indicate otherwise.