Robert Walton is in St. Petersburg, Russia, (from where he writes the first letter) because he uses it as a stopover on his way to Archangel, a remote town in the far northern part of Russia. His letter demonstrates his exuberance about Russia, the snow, and his quest to reach the Arctic. When he reaches Archangel, he plans to gather a crew and obtain a ship so that he can begin his journey.
He expresses several plans in his first letter to his sister. First, he tries to assuage any of her fears for his safety and convince her that he is doing what he loves. Secondly, he expresses his desire to be known for his expedition, either by discovering the source of the Earth's magnetism in the Arctic, finding new celestial arrangements, or proving the existence of a Northern passage. What readers should later glean from Walton's first letter is that his obsession with fame and glory is very similar to Victor Frankenstein's own search for glory.
I assume you are talking about the letter that is the very beginning of the book. If so, Robert Walton is writing the letter to his sister from Saint Petersburg, Russia.
He is there in St. Petersburg because he is an explorer. He has gone up there because he is planning a big expedition. His goal is that he will reach the North Pole. He is writing to her, describing what he thinks he will find up there. He is saying that he cannot believe that it will de desolate. He thinks it will surely be beautiful instead.