In a good story (the one you're writing?) there is an organic relationship between your heroine and the setting of the narrative. Her physical location can provide a great deal of practical information about her - is she a city dweller or a country girl? - you see, straightaway you're starting to build up her character. Whether she works in an office, a factory or a farm has a bearing on the kind of person that she is likely to be; even the furnishings of a room can provide detail that sheds light on who she is.
Just as the place in which you locate your protagonists can be informative, so can the period. Although the fundamentals of human nature don't change that much down the centuries, how people behave is quite closely linked to the era in which they live. For example, women living in the 19th century before the start of the suffragette movement may have different attitudes and expectations to those born in the early 20th century - they will certainly speak differently.
However, setting can be used subliminally as well, to help indicate the emotional state of your characters. Emily Bronte externalises the turbulent passions of Heathcliffe and Cathy in her descriptions of the wildness of Wuthering Heights. Clumsily done, this can be incredibly cliched -- how many movies have you watched where sad scenes take place in the pouring rain - but with a lightness of touch it can add a dimension to your characterisation. Showing that your protagonist at odds with her surroundings, rather than in sympathy with them, can also be useful in adding tension and brio to the plot and is a potentially intriguing way of developing a character further.
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