"Set" is a term used to describe getting three-of-a-kind when 2 of them are in your hand (pocket pair) and the third one is within the community cards.
"Out" is a term used to count how many cards (out of the total remaining cards) can make your hand the winning hand.
In order to calculate the outs you need to divide the number of cards that will "save you" by the subtraction of all the known cards (cards that were already showed/revealed) from the total amount of cards.
for example: if you looking for a spade-flush (13 spades in the deck), you have 2 in your hand, the flop shows 2 more and no other player (3 other players are with you in the table) has a spade in their hand (lets assume that for a sec). Your outs are 9 (13 total spades - 4 already revealed to you). and your odds of hitting that flush is 9/41 (41 = 52 - 2(your hand) - 3 (flop) - 6 (3 other players)).
That gives 22% of getting the flush on the turn plus another 22% of getting the flush on the river. Or a total of 44%