Where It All Goes Down
The setting of this poem can be tough to pin down, but if you want a great starting point, just look to the title of each section. To a large extent, you can read "Burnt Norton" as mostly happening in the garden surrounding the destroyed English house of Burnt Norton: "Other echoes / Inhabit the garden. Shall we follow? / Quick, said the bird, find them, find them, / Round the corner. Through the first gate" (19-22).
Similarly in "East Coker," you can picture the speaker (or his speaker) visiting this old English village, "Where you lean against a bank while a van passes" (195). "The Dry Salvages" refer to a group of rocks off the coast of Cape Ann, Massachusetts, where the speaker spent some of his childhood, and you can again picture him taking a trip down memory lane as he talks about the "sea howl / And the sea yelp […] caress of wave that breaks on water" (417-420). The same goes for "Little Gidding," which could very well take place in the English chapel that the section is named for.
With all that said, the speaker's mind often leads him (and you) into other places that might only exist in the poet's mind as a sort of dreamscape. All in all, it's tough to say how much of this poem's setting is actually a physical place or a mental one, but this all stems from the speaker's expressed belief that there's really no line you can draw between your spiritual mood and the physical world around you.