"Set" in VBScript is like saying "New". It takes an undefined variable and creates an object based on the class used in the statement. You still need to declare the object's reference in the head or function, depending on scope.
Dim myObject, myString
Set myObject = Server.CreateObject("MSWC.NextLink")
myString = "This is how you define a literal."
The reason a variable is set to "Nothing" is for memory cleanup. It's another good habit, but matters less on short scripts than it does on long running actual programs that use more RAM. It can also come in handy if you need to reset an object as part of a conditional statement. But if you never clean your objects out of memory and you have a script that runs heavily for long enough, it will build up all those objects and your RAM will be over used.
As for ASP, once the VBScript is finished running, all the variables, objects, etc used by the script are dumped immediately, so this isn't as important. But again, it's good habit for later.