As pertaining to the playing of a single reed woodwind instrument (such as a
Saxophone or
Clarinet), your setup is the choice in reeds and mouthpieces you have made. Players will often have several setups. One for
jazz playing, one for
legit playing, etc.
I'm assuming that in other circles such as brass, percussion, flutes, and double reeds, this word is used in a similar way, but I would not know.