Sets are tailored views of instruments / symbols in your Market Watch.
In order to remove symbols from your Market watch, right click on the symbol and select "hide". To add a symbol, select "click to add", type in the symbol and press enter.
To save a set you've created , right click in the Market Watch, select "Sets", then "Save As". To access a set, right click in your Market Watch, select "Sets" and a list of all saved sets will appear in the context menu (as shown in the image below).