What can be defined as a Regular Set
A regular set is the same thing as a regular language. You haven't explained how to encode integers, but suppose you encode an integer in binary notation, MSB first; so each zero is represented as $0$, and all other numbers start with $1$. The set of even positive integers is the represented by the regular expression $1(0+1)^*0$ (why?), and so is regular. The set of non-negative integers divisible by $5$ is also regular, since there is a DFA that accepts it; the minimal DFA has $5$ states corresponding to the value of the current prefix modulo $5$, which is updated in the obvious way. I'll let you figure out the details.