Captain Walton's ship in the North Pole; Europe
Although the frame story is exclusively set aboard Captain Walton's ship in the frozen waters of the Arctic, the events of the story happen all over Europe, from Geneva to the Alps to France, England, and Scotland, as well as the university at Ingolstadt.
Whew. Better make sure our passports are still valid.
But for all that we travel over half the globe, Frankenstein isn't a travel diary. The most important setting (we think) is still the frozen waters of the Arctic, for two reasons:
(1) Being stuck in ice sounds like a pretty hellish experience. We've never experienced it personally, but we can guess. So hellish, in fact, that it sounds particularly reminiscent of Dante's description of the ninth and innermost circle of Hell in The Inferno. (We feel justified in bringing up Dante, because Shelley has Victor tell us that the monster was "a thing such as even Dante could not have conceived" (5.4).)
Our point is, Dante tells us that the ninth circle of hell is reserved for those who have committed betrayal. All the sinners are stuck in frozen water, up to their shoulders or necks or eyes or whatever depending on just how bad their betrayal was. Satan's there, of course, stuck in the middle of the lake and pouting. The worst kind of betrayal, Dante tells us, is betrayal against your God. And isn't trying to penetrate the secrets of nature—like Victor and Walton do—a kind of betrayal of God?
(2) Guess who else gets stuck in ice? The poor sailors of The Rime of the Ancient Mariner, one of the landmark poems of Coleridge and Wordsworth's 1798 Lyrical Ballads, the book of poetry that basically inaugurated the Romantic movement in England and that Shelley had most definitely read. It's not clear why the sailors get stuck in ice, but it is clear that the mariner of the title commits a major no-no by killing an albatross and ends up getting all his comrades killed. No one can agree exactly how to interpret the poem, but it's pretty clear that they're punished for some crime against nature.
So: being stuck in ice is a pretty good sign that Walton is doing something wrong. He might be depressed about turning around to go home, but we can't help breathing a sigh of relief—and we're pretty sure his sister will, too.