All make sense, but it would be more natural to include with/by:
"Could you help me with setting the table" = I am setting the table, can you help me?
"Could you help me by laying the table" = Someone needs to lay the table, can you?
In response to the comment: to 'lay' the table is to put plates, cutlery and any other things needed on it for a meal. It's common in British English, but rare in American or other dialects.