Against sett, Sett is going to look for an early cheese. Stay as far back as possible at level 1 and 2 so he cannot use his Flash and kill you. 

At level 6, Sett’s Ultimate R is pretty strong. Do not overextend or stay on low health in the lane as he can easily kill you or set up his Jungler.

If you are playing as a ranged Support, try to harass him as much as you can to make it really difficult for him to engage without dying. Against sett, Sett will look for an early cheese. Stay as far as possible at levels 1 and 2 so he can't use his Flash and kill you. At level 6, Setts Ultimate R is strong enough. Don't overextend or stay on poor health in the way because he can easily kill you or set up his Jungler. If you play as a varied support, try to harass him as much as you can to make it really difficult for him to engage without dying.