The setting is the actual house with the boarded window. As it says in the enotes summary, no one can remember why the window is boarded up except for the narrator who was lucky enough to hear the story from Murlock's grandfather. The house is located near what would eventually become the city of Cincinnati but, given the time period, the area is almost completely undeveloped. The man who lived in the house, Murlock, made his living selling animal skins.
The first two paragraphs of the story include quite a bit of detail about the setting, including information about the time period, geographic location, and description of the actual house with the boarded window.
In 1830, only a few miles away from what is now the great city of Cincinnati, lay an immense and almost unbroken forest. The whole region was sparsely settle by people of the frontier...He lived alone in a house of logs surrounded on all sides by the great forest, of whose gloom and silence he seemed a part...There were evidences of "improvement"-- a few acres of ground immediately about the house had once been cleared of trees, the decayed stumps of which were half concealed by the new growth that had been suffered to repair the ravage wrought by the ax...
The little log house, with its chimney of sticks, its roof of warping clapboards weighted with traversing poles and its chinking of clay, had a single door and, directly opposite, a window. The latter, however, was boarded up--nobody could remember a time when it was not.
Of course, this passage also includes description of the main character, Murlock.