What does DMSSET do?
The DMSSET job is run during the initial installation of the product.
This command establishes the Parmlib name in the ISPF interface and the Files Data Set name. DMSSET updates the load module DMSPARMS.
This is the DMSSET member in the CCUWJCL lib:
SET FILEDSN=your.disk.files.data.set, PARMSDSN=your.disk.parmlib, ALTFILES,ALTPARMS