This depends on the context. If we are talking about a play for example, then the set is the physical items used on the stage to create the idea of location. This could include maybe a backdrop of a street or a particular room that the actors perform in front of to make you feel like they are talking in that location. The scene can then refer to the idea that the set gives the audience (it sets the scene) but scene is also used to refer to a section of a play that is performed at a certain location or between certain characters - kind of like a chapter in a book.