I think that the "in" should be seen as going with "late," not with
"afternoon."

We have plenty of other constructions like this:

John took on a new career late in life.
It is too late in the semester to enroll in a new course.

Bill

>Dear ATEGers,
>
>The other day, I came across the following passage when reading "Uncle
>Tom's Cabin".
>
>Late in the afternoon of a chilly day in February, two gentlemen were
>sitting alone
>over their wine, in a well-furnished dining parlor, in the town of P---,
>in Kentucky.
>There were no servants present, and the gentlemen, with chairs closely
>approaching,
>seemed to be discussing some subject with great earnestness.
>
>Is "in the afternoon of a chilly day" correct?
>Or is it rather archaic and should I say "on the afternoon of a chilly
>day" now?
>
>Thanks in advance.
>
>SIRAISI Tomio


William J. McCleary
3247 Bronson Hill Road
Livonia, NY 14487
716-346-6859