Now, setting is one of those things that I think makes or breaks a story. Everything about your story is grounded in setting; the place where your story is happening will be integral to how it plays out.
If it's happening in a remote town high up in the mountains, what your protagonist will think to do, and the various resources available to them will be incredibly different from how your protagonist would act if it was taking place in a bustling city.
If you're writing a fight scene in the middle of a forest, the destruction would be mostly to the environment, and your characters would likely fight more recklessly because no one other than themselves would get hurt. But, if it were on a city street, there would be prying eyes and the possibility of others getting hurt, so the character's may be more careful, and in both cases the fight will play out drastically different.
Get the idea?
Now, to break this down in the simplest terms, I'm going to split setting and how it helps a story into three categories: Place, time, and mood.
Place
This is going to be the most straightforward out of the three. This is the conventional and obvious purpose of setting in a story—it establishes place. It makes quite clear where your story is happening, and gives a foundation for the rest of the novel to play out. The "place" part of setting is the specific and definite location of a story.
This can be on both small and large levels—anything from a city, to a small town, to a mountain, to a specific country, to a specific school, or a spot in a park.
Now, as simple as it seems, there are often components of this that you'll have to be careful of. For example, weather. In picking a place, weather is a key part of this. If it's somewhere real, you'll want to make sure the weather presented is accurate. If your place is fictional, then you'll want to establish clear weather patterns, both for yourself and the reader, as this creates a sense of realism, and gives you a chance to incorporate the setting further into a story (if it's storming, then that is one more thing the character will have to deal with).
This leads me to my next point in implementing the place aspect of setting; it has to feel real. If your setting does not feel real, or include enough details that are familiar to the modern reader, they will likely feel lost or distant from your world. This almost always turns readers off, so you must be quite careful in determining the defining details of the setting.
In addition, if you're not intimately familiar with the place that you're writing about, and it is a real place, changing the name of it in case you are inaccurate is likely a good decision, because it will stop readers who are intimately familiar with that place from comparing, judging, or stopping your novel because of those inaccuracies.
Time
Time is also fairly straightforward in and of itself, though not always directly grouped in setting. Essentially, the time that your story takes place in provides a backdrop to the story.
Just like place, time includes the era or century your story is taking place in (again, if you're writing fantasy with a different way of measuring time, that should be established very clearly), AND it includes the season, day, or week.
You shouldn't be giving time explicitly unless there is reason to (if it's epistolary, dates on journal entries or newspaper articles are perfectly valid, or if there's a date included in an event title (War of 1812)). Instead, time should be established through little details that keep the reader oriented. This is through things such as weather, the sun's position in the sky, architecture, technology, etc.
Time likely won't feel immediately important to the story, but it will help with realism, and also add a layer to the story that would have otherwise been missing.
Mood
Mood in terms of setting is likely the only one of these that maybe isn't perfectly intuitive. Setting really should be an aid in creating mood to the story, and this is a use of setting that will make your writing feel not only layered, but also feel advanced.
Establishing mood through setting is something that will enhance the emotional landscape of the piece, and is often conveyed strongest through changes in setting. If the weather goes from sunny to rainy, this is a classic example of changing the mood of the story through setting. Every detail of the setting will contribute to the mood, and if done right, should be coherent and beneficial.
While mood can be conveyed from changes in setting—and this works great on a large scale for the large events and large shifts in your story—you can't have an ever-changing setting to fit the mood you want in that scene. So in addition to changes, you can also create mood in the diction used to describe the setting. If a sunny day is described in a bland or dull way, it will show that the character is feeling fazed and out of it.
In conjunction with diction, if you juxtapose your character or set your character against your setting, that will also create mood very well through the use of setting. If it's frigid outside, and you make your character either have to fight against that frigidness, or if you compare their emotions to the frigidness, that will create mood.
For mood in particular, the best way to learn to establish it through setting is to practice. There isn't a trick, or a certain word that you can use to do it, but the more you begin to do it, the better it will get, and the more it will help your story.
Now, there are many other benefits of setting, and tons of other cool ways to use setting in your story, but now that you understand the main three ways (in my opinion) that setting should be used, I want to talk about picking a setting.
The best way that I think you can decide on a setting if it didn't come to you in your original story idea, is to map out the plot and the characters, and then think about where your characters are best fit to live, and where your plot is best fit to play out. It will most of the time be multiple places, but if you can pin down a few places that are perfect in aiding to play out your plot or develop your characters, that is how you should do it. A really good way of finding those places that work is simply scrolling through pictures of around the world, and seeing if one really speaks to your story.
Like I said, many times the setting just comes with the story idea, and if it did, then you can go right ahead and work on implementing setting into the story, but if you didn't have a setting decided on, I'd recommend waiting until after you've got the bones of your story and putting a setting that is complementary to (or, if you want your setting to function almost as an antagonist in the story, contrary to) those things.
I figured I'd end this one with 20 pictures that always inspire me for different kinds of settings, because for me, finding a setting is always best done with pictures.
So...
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