As you can see in the Reference Manual, they are used to assign values to variables in the load script. The main difference is that while SET assigns the value to the variable without evaluation, as a string, the LET first evaluates the expression at the right part of the "=" sign, then stores the value.
Two simple examples:
SET vLiteral = 1 + 1; // This stores the string "1 + 1";
LET vSum = 1 + 1; // This stores 2
Check for further reference the Manual and this thread on how they work and when and how to expand and this other one among many others.
In Qlikview there are two variable SET and LET.The difference between these two is that the SET statement assigns literal string to SET variable,where LET Statement first evaluate the string before assigning it