The story is set near the coast of Maine.  It is set on a farm.  Sylvia has moved there from the city to live with her grandmother.  She has no human friends, but has a deep connection with nature and animals in it.  The fact that the story is set in a rural setting is very important because it reveals Sylvia's deep connection to it.  She is very familiar with the woods and its animals and enjoys her time in the woods.  The author reveals the setting through description and through the narrator's look into her thoughts.  The name Sylvia is also important:

Fittingly, the name ‘‘Sylvia’’ comes from the Latin silva, meaning ‘‘wood’’ or ‘‘forest,’’ and the story takes place in the woods, far from the noisy city where Sylvia was born, and near the vast ocean that, until the story begins, she has never seen. (eNotes)

After meeting the young hunter, who Sylvia is drawn to, she decides to help him locate the great white heron; however, utlimately, she chooses nature over her relationship with the hunter because her heart lies with nature, not with the hunter.