The setting of a piece of literature refers to the physical location and even historical time period in which the action of the piece takes place. Setting can refer to a specific city, state, or country. It can also refer to a specific building, such as a house, or a specific area, such as a park. The story of The Little Prince is primarily set in the Sahara Desert, but the story also consists of many flashbacks as the prince relays his own story to the pilot. Therefore, the setting would also include any of the other locations the prince describes in his own narratives.
We learn in the second chapter that the story is set in the Sahara Desert when the pilot tells us that six years ago, his plane crash landed in the Sahara. Throughout the duration of the story, the pilot is in the Sahara attempting to fix his plane's engine so that he can make it out of the desert alive. It is here in the desert that he meets the little prince who then begins to tell him of his home planet and of all the places he has traveled to.
A second setting referred to in the story is the little prince's planet that we hear a great deal about in the prince's flashbacks. For instance, we know that it is a very small planet. In fact, it is so small that at any moment a person wishes, he or she can see the sun setting. For instance, we learn that on one day the prince "saw the sunset forty-four times!" (Ch. 6).
Hence, we see that by reviewing all of the different locations that are referred to throughout the story, especially in the prince's flashbacks, we can deduce all of the story's settings. However, since the direct action of the story takes place in the Sahara, the primary setting is the Sahara where the pilot meets the prince while he is trying to repair his plane.