Is there a rule (I know these tend to be broken) that says you should establish where the scene takes place within so many sentences? I thought I'd read somewhere it should be established within the first paragraph. But, sometimes it feels clunky to add it at the beginning, especially when the scene opens with a lament of the last chapter. (Maybe I shouldn't do that.)
Well, you don't want your readers to be lost. But at the same time, the "where" of a scene isn't always relevant. Let's say your scene is a cafe, but the actual meat of the scene is the conversation between your characters. I don't see a problem with the scene starting with the dialogue, and easing the "where" in as you go.