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.