Concept:
Sheet sets are the digital version of the rolled up groups of drawings shoved in the back corner behind you. Actually they are the next logical progression from Pack 'n' Go. This time though, you are just sending the layouts. There are a lot of variables involved when you use these, but I will give you an idea of what's involved. Sheet sets can be published as DWF's or opened up in ACAD 2005 (.dst extension).

Procedure:
The first thing I would do is check that you have all your 'ducks in a row' concerning the drawings and layouts that you plan to publish. It sounds obvious, but you don't want to keep creating Sheet Sets after you find the layouts are scaled wrong, duplicated or whatever.
Start the command, SHEETSET, or use the File > New Sheet Set menu option to invoke the command (for those that like icons, it looks like the rolled up sheets shoved in the corner behind you.

Once you have the command started, you'll see what could possible be the largest dialog box I've ever seen with so little info:

In this example, I will use some existing drawings that are part of the default samples provided. I press "Next" and get taken to Step 2.

This seems fairly simple, give my set a name(1), a description(2), tell AutoCAD where to save the file(3). There is a button for "Sheet Set Properties" that gives me some more options on the set (below) - I can even create my own custom fields here.

For the same of brevity, I will leave this for another day.

The next tab is where I can select the "folders" where my drawings are saved and add them to the Set.

So I press on the "Browse" button and navigate to the folder I want to use (I can repeat this to add more folders). Once I have all the files listed (with their layouts), I now can turn on or off the layouts as I need to them.

The last step is to confirm what I just did in the final tab of the wizard.

I see a list of layouts that will be part of this Sheet Set - if it's what I want, I press "Finish".

After finishing the wizard, I am back in AutoCAD and ready to work with the Sheet Set.

If I double-click on a sheet name, it opens up in a layout tab. I have other options as well.

The view list (second tab down) allows me to zoom directly to any saved view that was part of the layout (a new, great use for views).

Circled, is a button that lets me "Publish to DWF". This will publish whichever Sheets I have highlighted (all in one file).

In the "Details" section, I have the option of either viewing the file information, or a thumbnail.

Of course there is a LOT more to these, but I think you get the idea.