A shipset is the name given to a collection of files which taken together make up the elements to customise either BoP or XWA in some fashion. This is normally to add custom missions or ships but can be used to update or modify any part of the game we can change.
You will need the shipset launcher for the program you are customising and a program called JK Gob which creates the Gob files which the shipset launcher uses (and as you can tell from the name was originally used for Jedi Knight modifications). The JK Gob help contains full instructions but the basic idea is that you select the files you have created or modified and then JK Gob takes those files and converts them into a Gob File which you can then distribute.
The shipset launcher then extracts your files from this Gob file (or any others you have) and automatically places the custom files in the correct location(s). Once the game session is over any files which have been set to be restored to the defaults will be done so. This can be a lot easier for the user than having to modify list files and copy data files (missions, sounds, cutscenes....) manually. Again full instructions are included with the program.
The advantage of a shipset is that it is a single universal format, the disadvantage is that it is a tiny amount of extra work for the campaign creator and if cutscenes (or other large files) are included the Gob can become rather large (though as far as I know there is nothing to stop you from having large files outside the Gob and leaving them installed).
I admit freely though that I have very little experience with Shipsets as when I started my first BoP Campaign (and shortly after that this site) the Shipset launcher didn't exist so I didn't bother with it. Corrections and additions are therefore especially welcomed to this section.