I think he's referring to the datatype (class) and associated operations (so not a literal Python module that you import, which may be where your confusing is coming from).
That's new in Python 3 (or maybe 2.7). When sets where first added to Python it was a module you imported.
That's a another downside of being an old programmer. Changes that happened 'very recently' also happened before many of your colleagues started programming :)
