Keep in mind that the literary term mood, is very similar to the term emotion. As it is by definition combined with setting, the mood can also be analyzed as atmosphere.
"The Highwayman" establishes within the very first stanza a distinct, ghost-story-like quality to the atmosphere. First, it is night time and we know that it is not only windy, but dark and cloudy. The moon as a "ghostly galleon" is a metaphor comparing the moon to one of those old large sailing ships from the 16th century we now see most often represented in paintings. Such ships were very large, and knowing that the moon itself does not move, you can imagine the way the wind is blowing the clouds that the illusion of a sea is created. I also get the distinct impression that this moon is full.
All of this intentionally sets up a somber and somewhat eerie mood. Keep in mind, however, that as the opening stanza of what is ultimately a poem about love, in addition to death and revenge, there is also an element of mystery established in these lines. The use of the word "ghostly" certainly suggests ghost story, but a full moon (or at the very least, the bright moonlight on an otherwise ominous night) is also suggestive of romance.
As the action in poem picks up in future stanzas, you will notice that this original eerie, romantic, but mysterious mood, created in the very first stanza, seems to remain mostly constant.