I'm assuming by "subsettings" you are referring to more minor settings, and not just England, or Hogwarts. Harry Potter and the Order of the Phoenix takes place primarily in the house of Sirius Black and in the Halls of Hogwarts School of Witchcraft and Wizardry. However, there are some smaller, less oft visited setting that are certainly worth mentioning. For example, in the very beginning of the novel Harry and his cousin are in a park where they meet the dementors. Harry must use magic to fend them off. Normally, using magic outside of Hogwarts is forbidden and Harry end up in a great deal of trouble because of that encounter in a neighborhood park.
Another minor setting is the ministry of magic, though perhaps I am incorrect in calling it a minor setting. Harry first appears in the ministry for his hearing. After that, Harry, Hermione, Ron, Luna, and Ginny spend time in the ministry at the end trying to save Sirius.