I've never done it, but the way it was explained to me was the "set-screw" is actually a pin. The pin goes into a hole in the barrel and is what holds it in place.
You take off the handguards, and you'll see the pin that's threaded. You screw a bolt or tool of some kind into the pin and pull out the pin. The pin may turn, but turning does nothing. It's only a pin. The pin will not come out of the gun. Don't tighten the bolt/tool as the pin will just turn and you won't get it loose. The threads are to hold the tool, not provide any tension.
The barrel is threaded into the barrel extension and the pin fixes both of thsoe together, as well as the barrel assembly to the upper. The whole barrel assy is supposed to be pretty tight in the upper as well.
Unless you really need to replace the barrel, I wouldn't mess with it. It's a simple enough system, but just like the AR with it's barrel wrench, the without the proper tools you could mess something up pretty easy.