Seems like we're golden on this one, since the setting of the poem is in the title. This poem is set at the beach in Dover, on the southeastern coast of England. Our work here is done, right?
Ah, not so fast, Shmoopers. In the first stanza, we get some more detail about the scene. First, the speaker lets us know that the ocean is "calm" (1). He also tells us that it's high tide (2) and the there's a moon lighting up the water (2-3). He's also with someone else, whom he asks to "come to the window" (which lets us know that he's not alone, and he's indoors). The speaker can hear the sound of the waves crashing on the shore, and see a light "on the French coast." From there, we take off into historical and metaphorical worlds inside the poet's mind. Still we come back, in the final stanza (29-33), to the speaker and his "love" (29) and his room on the English Channel.
We know for sure that Arnold himself went to Dover, and some critics have suggested that this poem is based on his experiences on his honeymoon. From what we can gather, it sounds like that's not quite settled, though. For more on that check out Victorian Web.