The setting of the poem is the forest during the winter. The speaker refers to the "woods" that seem to be set at quite a distance from "the village," where the owner of the land on which the forest stands lives. The speaker, then, is quite alone (aside from his horse). The speaker and his horse seem to stop, quite literally, in the middle of nowhere with nary a "farmhouse near." Finally, the speaker mentions that this evening is actually the "darkest ... of the year." From this, we might conjecture that it is December 22, the night of the winter solstice: the longest and, hence, the darkest night of the year. It is snowing, tranquil, and quite beautiful.
The poem's central theme has to do with the peacefulness and tranquility of nature and its ability to soothe and calm us. The setting, then, is inextricably linked to this theme because, without such a peaceful natural setting, we could not see its effect on this traveler to seems to have such pressing responsibilities that await him. We see that, despite his "promises" that he must keep, it is simply too beautiful a scene for him to pass through without feeling the need to stop. In the end, he seems to imply that he would prefer to stay in this beautiful place which is "lovely, dark, and deep," but he must keep moving because he has "miles to go before" he can sleep and many "promises" that he must "keep." Life can be demanding, tedious, and fraught with roles we must take on, but nature can provide a respite for us amid these demands.