What is a set?
A Set is a catalog record for a boxed set — a group of models a manufacturer packaged and sold together under one SKU, like a ready-to-run starter set or a matched passenger consist.
Like an individual model, a Set is public and shared. Its catalog page lists the member models that belong in the box, plus the set's own SKU, MSRP, release info, and photos.
Set vs. "My Sets"
The catalog Set is the published description of the product. When you own one, you add it to My Sets, which creates your copy and tracks completion. That distinction is important enough to have its own answer — What's the difference between a Set and "My Sets"?
To start tracking one you own, see How do I add a set I own?