Using sets, you can quickly delete a set of rows with one SQL statement, or update a set of rows using a single statement. You may be scratching your head, trying to remember what, exactly, sets are.
Sets are an unordered collection of items.
That's really all the refreshing you'll need. SQL doesn't allow any complex operations on sets. Rather SQL uses set notation to determine if a given value in a table is an element of a given set. That is probably as clear as mud. Let's look at an example.