The town of Christiana (now called Oslo) is specified along with the list of players, but the time period is not. Henrik Ibsen wrote this play in 1890 and it appears that Hedda is set in what for him was contemporary Norway. However, some critics believe that the temporal setting is meant to be earlier, as far back as the 1860s. (This is based on a number of details, such as the lack of electric lights and the fact that Hedda refers to walking back from parties on foot.) Either way, it’s clear that Victorian values rule the day: women are supposed to marry; their husbands are supposed to take care of them; a woman can’t sit alone with a man without a chaperone; no one is allowed to mention the word "baby"; first names are too informal for common use; and, of course, fun is strictly prohibited (essentially, or at least for women). These societal "rules" are a HUGE part of the problem for Hedda – they leave her feeling stifled and angry – which means setting is a big part of the play. (Which isn’t to say that Hedda isn’t relevant today; read our "Why Should I Care?" and get the picture.)
That’s what you need to know about the big picture setting – but let’s talk about the specifics. Did you notice that the entire play takes place in the drawing room of the Tesmans' house? Hedda (the character) is restricted to the drawing room, therefore Hedda Gabler (the play) is restricted to the drawing room. As the audience or reader, we get to experience a bit of Hedda’s trapped and stifled lifestyle. We literally can’t leave the parlor.
Then you’ve got the Tesman house itself, a residence that George thinks is their "dream house," but in actuality Hedda never wanted it. This pretty much symbolizes their whole marriage, which we see is also predicated upon misconceptions and miscommunication. (Check out Hedda’s conversation with Brack about why she married Tesman. She thought he would be famous, but no dice. She thought she would have money, but that didn’t work out. It’s one big misunderstanding.)
If you want to zoom in on an even closer level, you can talk about the specific set-up of the stage – this outer room/inner room business and the shifting furnishings on stage. But then you’d have to go read "Symbols, Imagery, Allegory."