From Ars:
The example Microsoft gives is of a student working on a paper for class. The main application she'll be using is Word to write her paper, but she'll also have other resources—a OneNote notebook from her class, various Web pages with useful information—that are all related but secondary. With Sets, she'll hit the new tab button in Word and open up OneNote with the class notebook as a tab; hit new tab again and perform a Web search. These tabs become part of the Word window. Close the Word window, and all the tabs close with it. Open the window again, and it'll ask if you want to recreate all the tabs at the same time.
In this way, Sets adds a kind of task-oriented grouping in addition to Timeline's time-based one. Sets can be tied to particular documents—open the document and the related tabs will come with it—or particular applications. For example, a Minecraft window could also have tabs for various wikis and YouTube tutorials, so that all your Minecraft stuff is handled together.
The way Microsoft will be developing and delivering Sets is a little different from what we've seen from the Windows Insider Program in the past. The next Insider build will have Timeline available to everyone. But Sets, at least initially, will be limited. Insiders will be randomly opted into the Sets test, and the new features won't be available to everyone at first.