A page set is where you define the content of your report and where you normally add the xml. Usually you apply one page layout to all the pages in a page set, but you can also add two different layouts and let one layout be for the first page and another for the rest.
You can also add one page layout for odd pages and one for even pages if you for example would like to only show page number in one of them.
To create a new page set go to Page Layout → Pages → Add page set. From the "Add page set" dialog click "Add" to specify what page layout to use for the new page set.
You can organize the order of the page sets by right clicking on the page set in the Pagination view and select "move up/down".