"The Road Not Taken" by Robert Frost is set in autumn. We know this because the roads are described as covered in fallen leaves. Also, in autumn, when leaves fall and people step on them, especially when they are damp or covered with frost, the leaves turn black. This indicates that the time is late autumn after the first frost in a somewhat damp climate (i.e. not in a desert).

The term "yellow wood" implies that the roads run through a forest where the leaves turn yellow in the autumn. Among the trees that typically turn yellow in autumn are beeches, birches, cottonwoods and hickory. 

As the majority of Frost's poems are set in New England where he lived, one can assume that the setting is a forest in New England, probably filled with beech and birch trees whose leaves have turned yellow and begun to fall, and that the poet is walking along dirt or gravel back roads.