What impact does the setting have in "The Cask of Amontillado"?I don't understand what "impact" means...

In this sense 'impact' means what effect or impression does the setting give the reader.

Poe's writing is considered to be in the Gothic genre, therefore his setting is similarly Gothic.  The two men go deep down into the dungeon or cellar and all the words used to describe the setting give the reader a creepy feeling.  The fact that they are in a crypt is scary enough but Poe continues to 'scare' the reader by describing in detail the thick stones, the dampness of the room and so on.  

In this way the 'impact' on the story and the reader is very strong.  The story would not be as strong if it were set in a living room.  He could have just as easily chained Fortunato up in a bedroom hidden away, but he did not.  He brought him into a tomb alive, which makes the story much scarier.