How to put string in a set as an individual item?

Just do it:

In [1]: s = "http://www.stackoverflow.com"

In [2]: f = {s}

In [3]: type(f)
Out[3]: builtins.set

In [4]: f
Out[4]: {'http://www.stackoverflow.com'}

sample = "http://www.stackoverflow.com"
final = set((sample, ))

The set() class ,which is also considered a built-in type, accepts an iterable and returns the unique items from that iterable in a set object. Here since strings are considered a form of iterable --of characters-- you can't just call it on your string. Instead, you can either put the string object literally inside a set while defining it or if you're forced to use set() you can put it inside another iterable such as list or tuple before you pass it to set().

In [14]: s = {'sample string'}                                                                                                                                                                              

In [15]: s                                                                                                                                                                                                  
Out[15]: {'sample string'}

In [16]: s = set(['sample string'])                                                                                                                                                                         

In [17]: s                                                                                                                                                                                                  
Out[17]: {'sample string'}