The setting of a story usually indicates the location and time frame in which the story takes place. In The Screwtape Letters, the story occurs during the "second German war," which is to say WWII. The location of the story is a bit more confusing, as the story is told through Screwtape and Wormwood's exchange of letters. Wormwood's patient is British, so you could derive the setting location as being Great Britain, but also consider the location from which Screwtape, Wormwood's nefarious uncle, writes his letters. In this sense, part of the story's setting would also be Hell.