VMS Help SET, COMMAND, Parameters  *Conan The Librarian (sorry for the slow response - running on an old VAX)

 [filespec[,...]]

    Specifies the name of one or more command definition files.
    If you specify more than one name, separate them with commas.
    The default file type is .CLD. Refer to the OpenVMS Command
    Definition, Librarian, and Message Utilities Manual for more
    information about writing a command definition file.

    The asterisk (*)  and the percent sign (%) wildcard characters
    are allowed in the file specification.