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

 directory-specification

    Specifies one or more existing CMS libraries. The directory
    that is used as the CMS library cannot be your current default
    directory. The directory specification must conform to VMS
    conventions; it can also be a logical name. If you specify
    more than one VMS directory, you must separate the directory
    specifications with commas. Wildcards are not allowed.