From what we know about Erdrich, the Windigo legend, and the physical descriptions of the landscape brimming with nature imagery, we can assume that the physical setting is a rural Native American community from the Great Lakes Region. And given the Windigo's presence in the story, we can also assume that the poem takes place during the cold, long, northern winter months typical of the region. Something about the Windigo—sporting all that icy fur—just doesn't exactly scream summertime.
Less clear is the time period in which the poem is set. We know, however, that variations of the Windigo story have been around for hundreds of years, and this poem could plausibly fit in anywhere in this time frame. More than anything, our setting works to create mood here. The cold, dark, isolated aspects of the natural environment are played up in the poem's descriptions to good effect, only heightening the creepiness factor.