Where It All Goes Down
St. Petersburg, Russia, in the 1840s and 60s, in a metaphorical hovel underground
Remember all that cool intellectual history stuff we talked about in the "Overview" of Notes from the Underground? That was Dostoevsky's time/place context for writing this work, but it's also the time and place in which the Underground Man is set. Turgenev, Chernyshevsky, the Crystal Palace, rational egoism, socialism, the fall of the feudal system – these all compose the setting for Notes and the intellectual environment to which the Underground Man is responding.
As for the actual underground hovel itself, well that's a big metaphor you can read about in "Symbols, Imagery, and Allegory."