According to the Internet season 1 took place in 2006. Try again.
"Set in January 2006, the season follows drifter*Lorne Malvo*(Thornton) who stops at a hospital in*Bemidji, Minnesota*following a car accident and influences local mild-mannered insurance salesman*Lester Nygaard*(Freeman) with his violent and deceptive ways. Their meeting sets forth a series of murders throughout the city. Meanwhile, Deputy*Molly Solverson*(Tolman) and Officer Gus Grimly (Hanks) of*Duluth, Minnesota*attempt to solve several crimes across the state they believe may be linked to Malvo and Nygaard."