The setting is the place where your story happens. The reader should never wonder where your story is taking place. If a lot of your story is just a voice without a body and no location, this isn't a story, it's a monologue!
Remember if you are writing a story, rather than a piece of descriptive writing, you will have to be a bit more selective about what you describe. For example, if your story is set in a hospital, think what the most important things to describe would be. What will really give the reader a sense that they are there? The antiseptic smell? The hospital beds? The harsh lights? Again, due to this primarily being a story rather than a piece of description, we can't afford to describe EVERYTHING! Pick and choose the best things to set the scene and go into a lot of detail about them.
For more tips on how to use descriptive writing techniques, look at the section on descriptive writing.