When I began writing one of the remarks I received from editors was that my characters operated in a vacuum. "People like to know where they are even though their interest centers on the characters and their problems. The where and when of a story should be shown quickly and in a few words. This will orient the reader to time and place. Imagine reading a book that you believe is a contemporary only to find it's a historical or a science fiction or a fantasy world. Kind of knocks the reader out of the picture.
One thing to avoid when setting the setting and the time is to employ long passages of prose that detail every bit of the scene.
Setting does a number of things.
Provides a location - She could see the George Washington Bridge. This tells the reader they're approaching New York City.
Helps define the characters - The apartment was as cluttered as her thoughts.
Establishes the mood or tone - A sullen sun brought no relief from the impending doom.
Provides a background for action, - The cliffs seemed sheer but they must be climbed.
Defines the time period - Strains of a waltz flowed from the ballroom.
Defines the genre - She stood beside the table in the morgue.
Now not all of these sentences are wonderful but they're an attempt to show the things a setting can do.