A weapon set is a pair of equipped weapons and off-hand items bound by default to one of the F1-F4 Function keys. By pressing the key, your character will quickly equip the weapons and off-hand items associated with that weapon set.
The default configuration will only have two weapon sets active. Open your inventory and push the Weapon Sets button below your character portrait to toggle the extra weapon sets.
Using the weapon sets
To fill or change the weapon sets, press the corresponding function key or click on the weapon set with your mouse. Then equip your desired combination of weapons and you are done. If you select another set, the weapons that you equipped in the other slot will have a small mark on them in your inventory.