The setting is supposed to make not just a physical impression on us, but a spiritual and philosophical impression, too. It should take us out of our world of everyday comforts and remind us that somewhere out there is a harsh, unforgiving, and vast wilderness. From the very beginning, we learn that the day is not only "cold and gray," but "exceedingly cold and gray" (1), a permanent twilight with "no sun nor hint of sun, though there was not a cloud in the sky" (1). Sometimes, it can even seem like London's setting isn't even on the planet Earth, but some sort of frozen planet like Hoth in The Empire Strikes Back.
The narrator gives us a hint at how we should respond to this wilderness, suggesting that we should avoid the man's "trouble" by learning to appreciate our surroundings. Above all, we should allow ourselves to approach the Yukon setting with "imagination" (3). It should make us "meditate upon [our] frailty as a creature of temperature, and upon man's frailty in general, able only to live within certain limits of heat and cold" and eventually take us into "the conjectural field of immortality and man's place in the universe" (3). But if you're not into all that heavy philosophical thinking, feel free to plow ahead into the Yukon wilderness with our main character, thinking only of biscuits and bacon. Just be prepared not to come out the other end.