To set up a suit is to establish it. Common methods of setting up a suit are knocking out the opposing high cards, giving up a slow loser and ruffing a suit.
The first suit you can set up by playing high cards to drive out the ace. Once the ace has gone, you will have set up the suit.
To set up the second suit on the normal 3-2 break, you cash the king, ace and play a third round. In a no- trump contract, you will lose the third round; in a suit contract, you ruff the third round and avoid a loser.
If the suit breaks 4-1, you will need to work harder, ruffing the fourth round as well. In either case, once the opponents have no diamonds left, you will have set up the suit.