"Aubade" takes place in the speaker's house—more specifically, in his bedroom. He wakes up before dawn and can't go back to sleep. He stares at the dark windows anticipating dawn's arrival. He's still there, in the bedroom, when the light does come: "Slowly light strengthens, and the room takes shape" (41).
While the physical setting of the poem is pretty fixed, the speaker's mind ranges outside the room. He imagines the telephones waiting to ring in "locked up offices" and all the people about to awake and begin the day. Still, for the most part, the setting is pretty stagnant. It's just a guy in his room at night, thinking about death. This stagnant setting amplifies the feelings of being trapped, in a sense, with death. The room feels inescapable, just like death—as the speaker reminds us many, many times in the poem—is impossible to escape.