Oh, yeah, install.packages() is picky when installing a zip file, and you need to rename it to match the name of the package: set.zip.
Or you can change the default branch to set, and then the URL will have set.zip.
But I agree with Maelle, distributing binary packages as repositories is a weird and uncommon solution. You can upload the whole zip file into a repo, and even better, as a release artifact.