You would need to just think about what type of Objects will you be storing in this Set. If you are going to use any of the Java provided types like String, Integer, Double etc then you don't need to think any further, just go ahead and start collecting objects in your Set object.
If you are thinking of using a custom class as a type then you need to override equals() and hashcode() methods in your class. These two are the methods which are used by Set to establish uniqueness. The use of these methods is explained here.