The action in Frankenstein is all over the place. If you read the book's preface, you'll find Victor trailing the monster on an iceberg, somewhere near the North Pole. But the brunt of Mary Shelley's Frankenstein takes place in Europe.
Victor Frankenstein is born in Italy; raised in Geneva, Switzerland; and then goes to Ingolstadt, Germany, for his studies - and that's where he creates the monster. Victor returns to Switzerland while the monster stays in Germany for a time, before his wanderings also take him to Switzerland to find Victor again. Victor also travels to London and the monster again follows him to Scotland, where Victor creates the second monster. Holland, Paris, Russia, and a small town on the Mediterranean Sea also make appearances in the novel.
Why so many settings? It might seem that Mary Shelley had wanderlust and might have been just as happy writing a travel guide, but the loose theme of escape and pursuit between monster and creator is central to the plot of Frankenstein. They can't stay near each other, but they can't stay away from each other either; this is the epitome of a love-hate relationship. Their travels across Europe, both to escape and then to find each other again, is critical to the story.