Lessing starts off the story with a description of three men at work on the roof during the week of the hot sun. I believe Lessing wanted to emphasize the characteristics of men of the construction class. These guys were tough, they were constantly exposed to heat, hard headed, domineering and egoistical. The scene is set where there were buildings and roof tops which symbolizes hardness, coldness, both of which reflects the characteristics of men. In the middle portion of the paragraph, Lessing brings us to a part where the men see a woman sun bathing in the nude at another part of the building. They were excited over the fact initially but they became rather annoyed eventually, at least one of them was rather angry. Perhaps her boldness and she not being bothered about their presence caused in the men insecurity, also the source of their irritation. They could see she was just like them but she was a woman and they couldn't accept that. To them she was inviting trouble, sunbathing like that, in a public place, in the nude. This further reflects the narrow mindedness of the men, restricting the woman's freedom from within their minds even. .
Another thought about the setting is that it speaks about 'space', personal and private space as opposed to public and social space. Males control the space of society by their presence. They hold more jobs, more prominent roles, they 'own' public space --- by having such dominance in society because they are men. Women, have tried to make themselves heard and seen in society without being discriminated against. Without having to watch and be careful about their dress (i.e. cover up otherwise you'll invite leers and harrassment). Without having to watch what they say for fear of offending people's cultural sensibilities (which are created by males anyway i.e. supposedly for the female gender's own good.