Before you can use it, you must enable the Equipment Manager under Interface Options. Click the checkbox and you're good to go!
Once the Equipment Manager is enabled, there's a little armor icon in the upper right of your character panel.
Click on the Equipment Manager icon and this window pops up, showing you any sets you've configured thus far. As you can see, so far, no armor sets are configured for this character.
To create a new armor set, make sure you're wearing the armor you want for the set and click "new" in the Equipment Manager window. You're prompted for a name and icon for this particular armor set. (If you get a new piece of gear you'd like to add later, you can update this set.)
Now we have one armor set saved. To switch to it, all you have to do is open your character panel and click on the armor set you want.
As you can see, here we have two armor sets configured. (In this case, one for Protection and one for Retribution.)
To edit a set, just click on the set..
...switch whatever piece of gear you'd like to change in your character panel and click "Save" to save it. You'll be asked if you want to overwrite the existing set -- just click "Yes" and you're good to go!