The Time Sets window shows time sets, which can be used in internal reports. Initially the window will be empty, but by right-clicking, you can select "New Time Set" to create a new set. Once you have defined your own Time Sets, they can be used in reports. For example, you could make a "Working Hours" Time Set, and could then run a Usage (PLCY x comp) report that only included usage during those hours of the week. For more on how they can be used in reports, see the Reports document.
Once you have created a Time Set, you must add one or more Time Ranges in the Time Set Details window in order for it to be useful.
The Time Set Details Window shows the name of the Time Set, and has two panes - Time Periods and Notes.
A Time Set is defined by an OR of the Time Periods associated with it. To add a Time Period to a Time Set, right click in the list of Time Periods, and select "New Time Period". This will bring up a window where you can define a Time Period.
Each Time Period is a range of hours and a list of days. There is also a checkbox labeled "Recurring" that determines whether a Time Period is the same regardless of the week, or whether it only applies to certain days. Usually, a Recurring Time Period will be the most useful, since reports can already be given a specific date range.
The Notes pane contains a single item, which is a free-form text field. You can use it for any information you want.