The game set is a series of script files that contain everything needed to define the game. It contains the definitions of all the object types in the game, like the different units, buildings, etc… It also defines the commands, orders and tasks available and contains the game logic/script/code to define all the mechanics of the game (what happens when somebody dies, when a peasant is building, when an upgrade is 100%, when a building is on fire, when a priest is blessing, when a succubus possess a peasant, when your manor is destroyed, …).
The game set is composed of one or more game set files whose names generally end with “.cpp”, but you might also see some having the “.gsf” ending (for example your own-made AI characters, which are in fact saved and loaded as parts of the game set). You can find them in the “Warrior Kings Game Set” directory.