Social context is the most important thing to keep in mind while reading House of Mirth. Lily's world is one in which women, and their activities, are extremely restricted. If Lily wants to keep her reputation intact, she's not allowed to have a place of her own, a job, hang out alone with Selden or any other man, borrow money from married men, or, apparently, gamble or smoke. You'll also notice that speech and dialogue are both decidedly different than what you're used to – more formal and elegant – again because of the novel's setting.
As far as the details are concerned, the setting varies from New York City itself to the fashionable New York country homes of couples like the Trenors. The most interesting setting switcheroo forms the division between Book I and Book II, when the social elite pack up and ditch town to head for the Mediterranean. Europe is a very different place – it has different social climbers, different social rules, different ruling elite to impress, and different ideas about social propriety. As Wharton writes, "Monte Carlo is, of all places, the one where the human bond is least close, and odd sights are the least arresting." (2.54)
Characters like Bertha Dorset go a little wild once they've been given the slightly freer reign of Monaco. It's sort of the same thing that happens when people visit, say, Las Vegas. Unfortunately, for all involved, in House of Mirth what happens in Monte Carlo does not stay in Monte Carlo. Much of the tension in Book II has to do with reconciling the activities that went down in Europe with the panel of social judges waiting back in New York.