Where It All Goes Down
Like the speaker himself (or herself), we don't have a ton of detail in this poem with respect to its setting. In fact, we can really only identify one physical setting here, which makes its appearance in just two of the poem's 32 lines.
Can you find it? Yup—it's the room (19-20). Now, we don't mean that weird and very bad indie film. We're talking about that magical place into which our speaker strolls with heart fully intact, and out of which he staggers with his heart shattered into a billion pieces. Just what's going on in that place anyway?
Well, it turns out that this room had a "thee" in it, and we know from the poem that this room was the setting in which the speaker "first saw thee" (18). This love-at-first-sight scenario—which clearly did not work out like it does in the movies—is enough to leave him totally devastated, sweeping up the broken bits of his heart. The room also suggests a broader, more abstract setting for this poem.
Another kind of setting for this poem is that of relationships, or love, in general. The poem sees the speaker lecturing his beloved about just how devastating an experience love can be, and in that way it's making a comment about the universal human experience of heartbreak. That's really more a concept than a traditional setting, but it does put the speaker and thee together in our minds, just like they would be if they were back in that room…where it all went wrong in the first place.