Non-descript setting, the Court at Denmark, a Boat
The three settings in the three different acts of the play each tell us something about the current situation. In the first scene, Ros and Guil seem to be in a no-man's-land. In the film version, they are in a wood, but in the play there's something a bit more surreal about the initial landscape. The ambiguity of location is key because it makes it unclear exactly what rules the play is going to work by later (Is this a realistic play? Is it a meta-play? Where does all this take place?). The no-man's-land might be seen to roughly correspond to the place that Ros and Guil find themselves when they are not guided by Shakespeare's text. Ros and Guil are, after all, not real people – they are literary characters. What happens to literary characters in-between scenes in a text? Presumably they are left in no-man's-land.
The end of Act One and all of Act Two take place in the court at Denmark. It is at this point that Ros and Guil become "caught up" in the action of Hamlet, and it makes logical sense for them to be moving around the court, looking for him and communicating with the King and Queen. Yet, in the play, the court is a disorienting place. Ros and Guil are like two hamsters lost in their little plastic tunnels. They rarely go anywhere, and often spend time waiting on stage for other characters to come and tell them what to do. The way the court is presented in the play underlines the passive role that Ros and Guil play in the action. Simply by being around the court, they get caught up in the whirlwind of events, but they are never deciding it.
The final Act takes place on a boat as Ros and Guil are supposed to be taking Hamlet to England. Guil spends some time commenting on their setting, and Ros at one point wonders if death is like being on a boat. The boat is out at sea, surrounded by vast expanses of water with no land in sight, but it is also on a fixed course. The setting plays into much of the "wind" imagery that occurs throughout the play as Ros and Guil attempt to determine which way the wind is blowing (and metaphorically determine the course of events). Guil finds the boat comforting because they know that they are going somewhere, but they are still free to move about their confined space as they like. We'll get more into how this is a symbol for the relationship between life, free will, and death in the "Symbols, Imagery, Allegory" section.
Lastly, note that the characters in the play show a subtle understanding of the fact that they are on stage. Ros at one point yells "Fire!" to the audience, and Guil, while speaking with Alfred, looks out and addresses the audience. Hamlet attempts to spit on the audience, but ends up spitting on himself. There is much discussion of the relationship between art and reality in the play, and it makes sense that the characters are on the brink of stepping out of the situation of the play and saying – "Yes, we know we are on a stage in a theater and that we are just characters in a play." Yet, there seems to be something that keeps them from doing this outright (check out the Player's "Symbols, Imagery, Allegory" section for some idea on what this might be).