We present an experimental setup for the study of thermoelectric effect in point contacts between different materials and in nanostructures. Point contacts of controlled size are formed with the use of an atomic force microscope (AFM), thermopower dependences against the temperature drop and against the contact spot size determined from the force applied to the probe. Computer simulations of heat transport in the system were performed to evaluate influence of atmospheric air and of a liquid layer covering solid surfaces in the atmospheric conditions onto temperature distributions. This influence was found to be insubstantial, which makes it possible to conduct experiments on the atmosphere and not in high vacuum.