Many of us have problems with settings. I know in the beginning of my writing career the rejections often mentioned my characters operated in a vacuum. Then there are the writers who give us pages and pages of the places where their characters exist and the story is lost. There's a happy medium and several ways to go about this.
One way is to take a place you know. Pick up your pen or pencil or hit the computer keys and just write everything you can remember about this place. Put in your reactions and also throw in the five senses. Just let it flow. You can use parts of this in your story and sprinkle them in like seasoning in a dish you're creating.
But say you're writing about a place you've been maybe onceor never. This takes a little work but can be solved from books or the internet. Look the place up and jot down descriptions and facts from your research. Once you have these notes down, put yourself or your characters in that place. Start writing what you remember from what you have read and made notes of.
Now's the time to start putting those into your story. Make sure to pick the things that are unique. I've been to Santa Fe once and while there I picked up every piece of free literature I could find. When I was ready to
set a story in that city, I thought about my impressions and then looked at all those flyers. During the writing of the story I had bits and pieces to pull out and hopefully succeeded.