A set skill is unlocked when you possess all the item gear of a set i.e. when you have the armor, sword, boots and the other stuff all belonging to one set, you will unlock a set skill. This will only work if you have all the gear of the same set.
how am i supposed to know what a set is. i am wearing elven gloves, sentry boots, elven mail, and a crown of truth. i also have a blood reaper and an angelic shield and nothing happens.