milieu, n. ("may loo") 1. the physical or social setting in which something occurs or develops; pl. milieux (also "may loo"); French, from Old French milieu "midst" ( mi "middle" + lieu "place"), current usage c. 1850. 2. the "world" or "setting" in which a game, particularly a role-playing game, takes place. See also genre, game world. [GJ1]

Addendum: The word "milieu" can refer to the general type of setting (generic fantasy, superhero, gothic-punk, cyberpunk, steampunk, etc.), or it can refer to a specific fictional or historical setting (1890's England, medieval China, D&D's The World of Greyhawk, Michael Moorcock's Melniboné, Tolkien's Middle-Earth, Larry Niven's Known Space, David Brin's Uplift War, the Skyrealms of Jorune, etc.). [GJ1]