Here's a good site that shows the magnetic declinations in North America and explains the compass setting. Variations in North America

Forget about latitude and the curvature of the earth, with a compass you are attempting to find a true meridian, or a longitudinal line, that is a true north-south line. The difference between the true meridian and magnetic north is the called the variation, deviation or declination (all the same thing). So, if you have a compass that has features that allow for this setting, you turn the needle ring the correct number of variation degrees. This way the compass needle is pointing at magnetic north and the compass north alignment is on a true north meridian.