Argument passing by reference to pointer problem

A reference to non-const cannot bind to an rvalue. The result of the & operator is an rvalue. Take a look at the difference between lvalues and rvalues or read a good C++ book.

Also, in your context, you don't need to pass by reference. The following is OK as well:

void set (int *val){
   *val = 10;
}

The reference would be needed if you were to do something like this;

void set (int*& val){
   val = new int; //notice, you change the value of val, not *val
   *val = 10;
}

&myval is an rvalue (of type int*), because it's a temporary. It's a pointer, but you cannot modify it, because it's just created on the fly. Your function set however requires a non-const reference, so you cannot pass it a temporary.

By contrast, pMyVal is a named variable, thus an lvalue, so it can be passed as a non-constant reference.