A Set is any Column of Gear you can see in the Blacksmith's Menu and will Often have Corresponding names to each other and/or have similar colors and designs.
While you could do this with ANY set for the Achievement, and will Cap out all the Gear as you find every Chest in Game i'd Recommended Maxing out the entire Ice Set First once you have the chance, as it Grants Complete Resistance to ALL Attacks and Environments in game that cause Fire Damage. This includes any Fireballs normal or Boss enemies can throw as well as all of the Lava in the Volcano which you have to mostly Finish for the Full Set anyways.