The setting of the poem is pretty obvious from the beginning—we figure out all too quickly that the speaker is in bed with his lady just as the mean old sun begins to rise and spoil their night.
All the action occurs in this small setting—the speaker never gets up and goes anywhere. That's kind of the point, though. The poem argues that the only space that really matters—in fact, the only place that even exists—is his bedroom. The last line claims exactly that: "This bed thy center is, these walls thy sphere."
Donne is a master of scale. He zooms us in and out with big and little images in the poem. Even though we stay in this one bedroom, we are metaphorically shrunk down to the level of ants (line 8) and stretched all the way from India to the Caribbean (line 17). He moves us around like this to prove his point: the whole world is contained right there in that room.