Mood is a literary element that is used to create feelings in readers.  Mood is often referred to as atmosphere because it "surrounds" a reader with a specific emotion.  It's possible to create mood through a character's spoken dialogue, but mood is most often created through setting descriptions.  The above question specifically asks about mood being established through setting details.  

A very simple way to look at setting is to say that setting is time and place.  Choice "A" gives those two setting details.  The time is night, and the place is somewhere wet.  That small description serves to establish an eerie mood.  Nighttime is usually scarier than daytime, and wetness can feel oppressive.  

The other answer choices are not as good of choices as "A" is.  Choice "B" feels like spoken dialogue.  It does seem to establish a foreboding mood because it's a warning, but it doesn't describe any setting details.  The other two choices are describing specific body parts.  Granted, the descriptions are not pleasant, so the mood might still be eerie; however, those two choices are not describing a setting location.