STL has no built in thread support, so you’ll have to extend the STL
code with your own synchronization mechanisms to use STL in
a multithreaded environment.
For example look here: link text
Since set is a container class MSDN has following to say about the thread safety of the containers.
A single object is thread safe for reading from multiple threads. For example, given an object A, it is safe to read A from thread 1 and from thread 2 simultaneously.
If a single object is being written to by one thread, then all reads and writes to that object on the same or other threads must be protected. For example, given an object A, if thread 1 is writing to A, then thread 2 must be prevented from reading from or writing to A.
It is safe to read and write to one instance of a type even if another thread is reading or writing to a different instance of the same type. For example, given objects A and B of the same type, it is safe if A is being written in thread 1 and B is being read in thread 2.