A couple arrive at the girls parents house - This establishing shot shows a very quaint suburban home, fairly normal and expected at this stage, but oh boy, things are about to get weird.
An establishing shot delivers the information that an audience needs to understand where a scene is taking place. It can also deliver information about who is in the scene and what the environment is like. Eg, if the scene were at school, it could be a close up of the room sign (Room G2), or it could be a wide shot of the inside of the classroom, or a shot of the school gates.
An establishing shot isn't characterised by a particular shot size - though often it is a LS (long shot) or ELS (Extreme Long Shot), it is any shot that gives the audience information about a location that a scene is to take place in.
Often, this establishing shot also establishes the mood and tone of a scene by working with lighting and sound. It can also serve the story by having a location where the characters either fit in, or stand out - eg, a gymnasium is the natural home of the 'jock', but a horrid place for a 'nerd'.
This establishing shot from 'Greif' has a woman smoking whilst looking down over a person inside a house. The darkness and ominous music make the person in the house seem like they are being observed and unaware that someone is looking, watching, judging...
...This shot follows the previous example, and gives clarity to the environment in which much of the film takes place. Both of these shots reveal information about where the scene takes place, and combined could be called an 'establishing sequence'. This shot reveals a bright, glass walled home - that places the fractured relationship between a husband and wife in a fishbowl, exposed for the viewer to see.
This establishing shot comes from 'Kookie', and shows that the film is taking place in an ordinary, and recognisable, suburban neighborhood. Horror often takes place somewhere that the audience can easily recognise - this makes them empathise with the characters easier, and makes them feel like it could be them in the film.
This establishing shot from 'Terrible Things' shows a barren and dying landscape shrouded in mist. This creates a sense that this film takes place in a post apocalyptic world, and asks the question 'why is this world this way?'
Anytime a new scene/location is used, the film maker needs to show the audience that new place - In 'The Sermon', we jump to a small church and this establishing shot shows the small congregation whilst we hear the preachers voice.
It's not always Extreme Long Shots used to establish a scene. Film makers can capitalise on things we instantly recognise - In this Close Up shot of a TV screen in 'The Smiling Man', we know TV's are in our living rooms...
...so combined with this shot, establishes a scene of a vulnerable girl watching TV in her living room. We can piece this together, recognise it, and empathise with the familiar...now the film maker twists that familiarity into the unfamiliar and scary...and we are along for the ride.