When we think of the setting of the story we think of time and physical location. This story gives us only one definite answer to these two aspects: the physical location. The first sentence of this excellent short story introduces where the action is to take place:
In a forest of mixed growth somewhere on the eastern spurs of the Carpathians, a man stood one winter night watching and listening...
The Carpathians, as I am sure you are aware, are a mountain range that starts in Slovakia and extends through Poland, Ukraine and Romania. So, whilst we know the geographical setting, the time of the story is not directly told to us, except that it is in winter. However, the fact that both characters have rifles, and other aspects about the setting, indicate that the story is set at some point in the early 20th century or late 19th century. This is just an educated guess, however. Often, when we think about setting, we have to examine the story and identify a variety of clues to help us in our deductions.