Well, you're probably not going to be shocked to discover that this story is about a group of horrific murders committed in a house located on the Rue Morgue. Rue means "road" in French, and morgue means, well, morgue (i.e., a place where corpses are stored). So, we get the sense right away that "The Murders in the Rue Morgue" will be pretty ominous.
Actually, here's a cool tidbit: the original meaning of the word "morgue" was a little more particular than what we get now on CSI or Bones. In the early nineteenth century, it was specifically a room for holding bodies awaiting identification. And interestingly enough, it was in Paris (source: The Oxford English Dictionary). So when "The Murders in the Rue Morgue" was first published, readers would've known immediately where the story was going to be set. For more on the importance of Paris as a setting, check out our "Setting" section.
Incidentally, there's never been a Rue Morgue in Paris. This makes sense, because we think it'd be bad luck to live on a street named for a room holding unidentified bodies. It'd be kind of like inviting zombies to dinner or something: asking for trouble.