Sets your "busy" string. When it is set and people either "finger" you or "tell" something to you, they will be shown this busy string.
Examples you might use are:
set busy is really busy right now
set busy will be back in 5 minutes
set busy will be idle for a while...
Typing any command clears your "busy" string if it is set; you don't have to clear it yourself.
See also: finger, set, tell