Data sets are sunsets of the Salesforce records that Salesforce for Outlook users can sync.  They consist of filters that limit which records will sync.  Each configuration must have a data set in order for users to sync with Outlook.  The Outlook Configuration detail page shows a summary of the configuration's current filters.

1. Click Your Name | Setup | Desktop Administration | Outlook Configurations.
2. Click the name of an Outlook configuration.
3. In the Data Sets related list, click Edit.
4. To see how many items will sync, you can check the data set size.
5. Click Save.

For additional Information SEE Force.com's documentation:

TRIAL user link:  

• Defining Data Sets
• Defining Data Sets for Salesforce for Outlook
• Sample Salesforce for Outlook Data Sets

OR

Active Customer Link:

• Defining Data Sets
• Defining Data Sets for Salesforce for Outlook
• Sample Salesforce for Outlook Data Sets