[vbat99]

There are two things you can do here.

1. Allow MC to scrape the movies and get the movie set name from TMDB. Therefore, nothing needs to be done. But, Set name is at the whim of TMDB entry. Personally I don't like this as people enter things like, Collection, Trilogy, Set.
If this option does appeal to you. You can use the Movie Batch Rescraper wizard, to add the TMDB Set Name to the movie nfo. This will runover all you movies, in folders or not, and add a Set if one is available on TMDb.

2. Manually Select and add to set.

Now, in a perfect world, I'd suggest we code MC to look for a specific start to a folder name, like "Set - Underworld", So look for "Set -" and add the Underworld as the set name to the movies inside the folder.

This does indeed sound interesting, but I can't say for now that it will get done. I will make the suggestion to the Dev's and add to Feature Request.