When you choose the [Create set] menu option this screen appears:
The [Clear] option removes all the files listed. To add new report files to the list use the [Add reports] option. An Open file dialogue is shown, allowing you to select any report files you wish to add the report set file. Once the list is complete use the [Save] option to copy the files in the list to a report set. A Save dialogue is shown for you to choose a file of your own choice.