The Prologue of Beowulf does not actually have a setting per se. An anonymous narrator is describing the history of the Danes. He begins by praising their prowess and then names Scyld Scefing as the founder of the people. Scyld himself would have lived in what is now modern Denmark and the various peoples he conquered would have lived in the general areas of Scandinavia and Britain. When Scyld died, his body was placed on a boat in a traditional sea burial. His grandson Hrothgar built the mead hall of Hereot. The story proper begins with the building of the mead hall and the assault on it by Grendel.
It is only with the building of Hereot that the poem becomes precisely localized. Hereot itself was probably located near the modern village of Lejre, approximately 30 miles west of Copenhagen, Denmark.
The opening of Beowulf probably takes place in a Danish mead hall with the scop calling the warriors to attention with the first word of the epic, which is So or Listen. He then proceeds to give the listeners the geneology of Danish royalty, which began with Scyld Schefing, his son Beow, then Healfdane, who had 3 sons and a daughter. Hrothgar, one of Healfdane's sons, is the king of the Danes who builds a famous mead hall, Heorot, which is attacked by the monster Grendel. We also learn that in the future, the mead hall is eventually burned to the ground because of a feud between Hrothgar and his son-in-law, Ingeld.
Danish mead hall