Set is a poker hand combination when you have a pocket pair as your hole cards and hit one of the community cards to make three of a kind.
For example, if you have called a raise with pocket nines and the flop comes J 9 3, you have a set of nines. That being said, not all three-of-a-kind combinations are considered a set. If you have different cards in a hole like AJ and the flop comes J J 3, it is referred to as trips rather than a set since you only had one of the cards used to make three of a kind in your starting combination.
Set is usually a much better-disguised hand than trips and is considered stronger since it is not obvious to your opponent that you might have such a powerful holding. Whenever you hit a set, you should try to play it fast and build the pot since you will likely take it down if your opponent has any piece of the board.