Setting the bur is a simple step in installing a high speed bur in a handpiece which causes the chuck to grip the bur more securely. It requires putting slight pressure on the end of the bur after releasing the button on the handpiece. Any friction grip chuck with a button or a lever (does not apply to manual chucks) will benefit from this procedure but Star Dental has put this step in their "Handpiece maintenance PDF" (see the quote below). This will improve the bur retention and increase the life of the chuck by reducing wear.
Proper Bur Placement to prevent bur walkout