We are looking to impliment this feature in the near future (2.5 release).  Currently the only way would be to use a custom report, or just run a query directly from the DB.

SELECT dg.id AS SET_ID,
dg.display AS 'SET',
p.name AS PROJECT,
dt.id AS SETTYPE_ID,
dt.name AS SETTYPE
FROM documentGroup dg
  INNER JOIN documentType dt ON dg.documentTypeId = dt.id
  INNER JOIN project p on dg.projectId = p.id
WHERE dg.active = 'T'
ORDER BY p.name

Plugging that query into BIRT will give you a reusable display of all your sets by project; set type included.  Version 2.5 will be out in the first part of 2009.  In the mean time, I hope this helps.