You know, I didn't even know this was valid syntax for creating a set in Python, so you taught me something here!

However, it looks like this syntax was not valid in Python 2.6, so you'll have to create a set the more traditional way instead:
>>> a = {5, 6, 7}
  File "<stdin>", line 1
    a = {5, 6, 7}
          ^
SyntaxError: invalid syntax

Very cool though!