These terms are often confused but basically setts are square or rectangular quarried stones most commonly made from Granite or Limestone that are cropped / cut into sizes ranging from 100mm to 300mm in depth and width, these have been used in a vast range of paving installation for centuries.
Cobbles are quite often used to refer for something that is actually a sett, but the word cobble derives from the word cob which means a rounded lump. Cobbles and setts are both used traditionally in road construction, which could be where the confusion may arise, but the main difference is that setts are square and cobbles are round.