Actually if you associate the file with LFS.exe double clicking it will copy and send it straight to the setups folder. As will right clicking and "saving as"
edit: Right clicking and "saving as" does not work
In case you are wondering how to associate the file..
1. Right click on any .set file.
2. click properties
3. Where it says "Open with" browse to your Lfs.exe and click ok.
Then whenever you download a .set file you can just double click it to send it to the data/setups folder. It Really works out for me with google chrome as everything I download goes to one folder.
OP: as LFS is not really "installed" anywhere (no installer, no registry changes) just copy and paste the setup to for example c:/games/lfs/data/setups/ , if c:/games/lfs is the dir you start the lfs.exe from.