The installer of LFS should do the associating automatically, but sometimes it doesn't work (or the user doesn't use the installer, but uses a .zip file). Then you will need to associate it manually like I described. The original poster obviously didn't have it properly associated, because he wanted a .bat file which would allow doubleclicking a .set file and I'm sure he tried the doubleclicking before requesting such a feature.
@Rockclan - this copies the setup file to the LFS setups folder