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

 device-name[:]

    Specifies the device on which the directory that you want to
    modify is located. The device name parameter is optional.

 directory-spec[,...]

    Specifies one or more directories to be modified. If you specify
    more than one directory, separate the directory specifications
    with commas. The asterisk (*)  and the percent sign (%) wildcard
    characters are allowed.