I don't remember Visual Studio having something similar to Eclipse working sets.
Working sets - Help - Eclipse SDK
They are a way to group projects included in your 'solution' (workspace in Eclipse) in a way that allows you to hide or show different sets of projects according to the part of the code on which you want to work. For example, you could define a working set containing only the unit test projects, or only the data access layer related modules in your project.
It is useful to filter almost any Eclipse View to show only the stuff related to the currently selected working set. For example, the error list: you don't have to see all the errors in the workspace, only the ones related to the projects in the active working set.
The only way I imagine duplicating this functionality in Visual Studio is having a multiple solution approach, and opening and closing solutions manually.