The whatis.db file is a list of man pages relevant to each command. It is updated either nightly or weekly, I forget.
So if your computer has never been on overnight, or until the right time of the week, there will be no such file generated yet.
setenv is a function of the shell you are using, not a regular program. For info about the setenv command at the terminal, you'll need to read about setenv in the man page for tcsh (or whatever shell you are using).
There should be a man page for the C library setenv functions, I assume that wasn't what you meant.