"To Melancholy" takes place on the banks of the River Arun in the county of Sussex near the southern coast of England. (Go to "Best of the Web" for some images of the river and a map of the area.) The speaker is hanging out on the edge of the river as the light dims in the evening. But she doesn't describe the beauty of the colors of sunset—instead, she talks about "evening's veil" spreading across the sky and darkening everything. The mist is rising up off of the river, and the wind seems to be sighing along with her. Everything seems hushed and muffled. The speaker seems to be completely alone.
The setting, then, is perfect for her to sit and brood and muse about her sorrow and melancholy. She actually finds the solitude and the melancholy setting to be refreshing and soothing, in a strange way. In part, that comes from her contemplation of the natural scene around her. The riverbank is an ideal setting for the speaker, since its features neatly reflect the gloom and mistiness of her mood.