This can happen for a few reasons. The milk temperature was either too low or there wasn't enough culture. If it doesn't set, you can put the milk in the microwave for 3-4 minutes or reheat to 135°F, add more culture, and wrap it in a towel and keep in a warm place. This won't yield the best dahi, but you can still use it as a starter for another batch, use it as a marinade, or mix into Kadhi.