A set is a group of similar things. Since you put this question in the math area, I assume you are asking how sets relate to the area of mathematics. There are many answers to that question. A set could be:
1- A group of things that are being counted
2 - A group of measurements, as in the set of data values obtained while solving a problem
3 - A group of numbers that have similar properties, such as sets consisting of all negative numbers, positive integers between 1 and 10, numbers that can be divided evenly by 3
4 - The factors that meet given criteria, such as the possible answers for a variable when there is more than one correct answer
To add to the above: math questions are often asking if a certain number is part of a set. For example: Is 2 part of the set of real numbers? This is just asking if 2 is part of that group. Or you may be given two sets and asked what they have in common, or what numbers are in only one set and not in the other.
Technically, a set does not have to be mathematical. A set could be "fruits" or "people who's names start with the letter B".