The Set View Filter will set a control, usually a grid object, to a pre-defined view filter.
A view filter usually appears in a drop down in the upper left of a grid. It will allow the user to choose what records will show up in the grid.
For example, the contacts grid has a number of view filters. You can choose to have the grid show only leads, only vendors, only contacts assigned to the user, etc.
In order to set the view filter of a control, the view filter must be created first within the control.