Your set piece instructions are divided into two - Defensive Set Pieces and Attacking Set Pieces. Defensive set pieces are times when the opponent is taking the set piece and you are trying to defend the ball. In an Attacking set piece, your player is on the ball and your players are trying to attack the opposition's goal.
Defensive Set Pieces
In Defensive set pieces, you can tell a player to either stay in his normal position, or to come back and help the defensive players with defending the ball.
Attacking Set Pieces
You can instruct a player to either stay in his normal position, or go forward and join the attack.
Sometimes for corners and freekicks, you need players with good Heading abilities to either attack or defend based on which team is in possession of the ball. You might need to get your defender forward for a corner to try and get that header into goal, or your attacker back to defend aerial balls from an opposition's freekick. Set piece instructions are handy in such situations.
The goalkeeper always remains in his goal regardless of your set piece instructions.