Converting sets into regular expressions
We don't quite convert a set to a regular expression. Rather, we give a regular expression for a language (i.e., a regular expression which defines the same language). For example, a regular expression for the language $\{01,10\}$ is $01+10$, and a regular expression for the language $\{abb,a,b,bba\}$ is $a+b+abb+bba$. There can be other regular expressions. For example, another regular expression for the second language is $a(\epsilon+bb) + b(\epsilon+ba)$.

Regarding the syntax of regular expressions, this should be explained in your book.