Setting the scene is also part of the reeling the reader into your story.
If you are writing about vampires, you need to decide how you will introduce said vamp to the reader.
It can be in the process of finding his prey or it can be when he has found and pounced on his prey.
Either way, you need to decide the timeframe you will use for the story: will it be past, present or future? There is always fantasy or science fiction as well.
When you set it will tell you how to set it. If you are setting it in the past, you will probably choose to put the attack scene in a forest. When in the past can help you decide what kind of forest it is.
If you set it in the present you might choose to set it in a war torn section of the world.
In the future you can choose which world to use and that will set time and place.
If you are writing an article your setting is already chosen for you.
Each scene will need its own setting. And if you are writing a romance the more details the better. If you are writing a police procedural the fewer details and more dialog is my preference.
With a romance you can get to describing the room you are in down to the drapes and the drapery rods. With the procedural one saying there is a window would be sufficient.
Remember, setting is what keeps them grounded in where this takes place.