A settei set is the set of drawings that lay out
the character designs. They usually have the
different characters in different poses and
wearing different outfits, as well as the
different expressions the characters have. In
other words, several pages covered in drawings of
the show's characters. I'm not sure if
all/some/none have color as well. From what I
understand, they use the settei sets as a guide so
that everybody draws the characters the same. When
you buy a settei, it's almost always a photocopy.

Sketches (Genga and Douga) are what get scanned
into the computer (or photocopied onto the cel)
and colored to become each frame of an anime show.
The FAQ at the top of this page does a better job
of explaining the different types and stages of
genga and douga far better than I could. These are
usually hand drawn. They are only one frame, or
even just part of the frame, per sheet though you
may get many of the frames in a sequence at once.

Check the FAQ at the top of the page, it has lotsa
good info on how cels are made.