First, the setting of the poem is a room in the narrator's house, most likely his study, since the room contains books and a bust of Athena (and these items are not typically found in a kitchen or bathroom, etc.).
In addition to place, however, setting refers to the timing of a story. This poem takes place at midnight, as the narrator tells us in the first line, and it is also December, the last and darkest month of the year. Both of these details about the setting are important because both midnight and December are often symbolic of death: midnight is the death of the day and December is the death of the year (as well as the onset of winter and the time of year when nature seems to "die" before it is reborn in spring; winter itself is often symbolic of death for this reason, too). These associations are appropriate here given the narrator's recent loss of his beloved, Lenore.