Most of William Faulkner's stories are set in Yoknapatawpha County, Mississippi, and often the small town of Jefferson. This is certainly the case with "Dry September." While Mississippi is a real place, Faulkner's Yoknapatawpha County and Jefferson are only based on real places. Still, since Faulkner spent the bulk of his life in Mississippi, he's fictionalizing things he has seen and experienced in the racially charged, post-slavery, pre-Civil rights era American South. If you are interested in Faulkner's places, here are some links to more information: a map of Yoknapatawpha and some history of Jefferson.
Critics are in deep conflict over the significance of the setting to this story. Some critics claim that the title, which emphasizes the hot, dry weather, is a "red herring" – something to distract us from the real issue presented, the psychology of the characters. Others argue that the title proves that the weather is of central importance. This second position is the man-against-nature approach, which claims that environment dictates everything.
William Faulkner is reported to have said, "I write about the human heart in conflict with itself, its fellows, with its environment" (source). If we can believe him, then this story is about both the weather and all the other conflicts going on. Plus, the notion of "environment" isn't limited to the dry, hot weather alluded to in the title, but also the social, cultural, class, and legal environments as well.
The setting is amazingly rich and many-layered in "Dry September." Notice how each of the story's five parts feature a distinct movement as the characters travel through the various micro-settings of the story. The barbershop featured in Section 1 is a good example. The relative privacy of the place, mingled with the heat, the shaving-product smells, the sweat, and the stale air combine with a week's worth of frustrations to create a perfect rumor incubator, a warm place for the rumor to grow and feed. For McLendon, the rumor has already reached the full-blown monster stage. For him, the barbershop is a recruiting station. His pistol-packing presence clears the room. When the scene began the shop was packed with voices, violent energy, and men preparing for Saturday night escapades of a terrible nature. At the end of the scene the shop has transformed into a quiet place, emptied of everyone but two whispering barbers.
We also find Section 4, featuring Minnie Cooper, particularly fascinating. Minnie's journey is circular. It begins and ends in her bedroom. In between the bedroom scenes, the setting is in constant motion. Notice how Minnie is affected by each of the different settings that make up her journey from and back to her bedroom. In the act of preparing to go out, Minnie is shaking, nervous, and vulnerable. When she's in that transitional space between her bedroom and the town square, she calms down somewhat. But, as she nears the town square, full of people since it's Saturday night, she starts freaking out again.
By the time she gets to the movie theatre her hysteria is full blown, probably as a result of all the attention she's been getting. Inside the theatre we get the same sense of hustle and bustle we did in the barbershop, but of an entirely different nature – couples on parade, and Hollywood dreams:
The lights flicked away; the screen glowed silver, and soon life began to unfold, beautiful and passionate and sad, while still the young men and girls entered […] divinely young, while beyond them the silver dream accumulated, inevitably on and on. (4.6)
Both the couples, and the life projected on the screen show Minnie what she can never have. These idealized images of youth and passion and beauty combine to drive her over the brink. The final bedroom scene in which Minnie is blanketed, cooled with ice, and laughing-screaming is chilling. Minnie is now a prisoner of her lonely bed, which probably only intensifies her sense that any chance of a loving relationship is gone.
Check out "Symbolism, Imagery, Allegory" for a look at some other interesting aspects of the setting, including McLendon's house and the ice factory.