Set of all Languages
You're almost there, but you need the right notation. Let's start with the alphabet $\Sigma = \{a,b\}$. Then the regular expression $(a+b)$ represents a set of two strings, namely $\{a,b\}$. The expression $(a+b)^2$ represents the set of the strings $\{aa, ab, ba, bb\}$. The expression $(a+b)^3 \ldots$ The expression $\{a,b\}^*$, also denoted $\Sigma^*$, represents the union of all these sets. Each of these sets is called a language, and so $\Sigma^*$ is also a language. So $\Sigma^*$ is one language, not the set of all languages, over the alphabet $\Sigma$, and it contains all the strings you can form out of that alphabet.

The set of all languages you can form using that alphabet is the power set of $\Sigma^*$, denoted by $\mathcal{P}(\Sigma^*) = \{L | L \subseteq \Sigma^*\}$. That is, if $L$ contains only strings from your alphabet, then $L$ is a language over $\Sigma$, so $L$ is an element of the set $\mathcal{P}(\Sigma^*)$. Now, some of these languages are regular, and some are not. Certainly the language $\Sigma^*$ is a regular language, and $\emptyset$ is a regular language (you can draw their finite automata and see that they are the two simplest automata). Other languages, such as $\{a^nb^m|n+m \text{ is prime}\}$ are not regular. I hope that clears some things up.