[Bf-python] Can't use Python sets in Blender 2.40

[Tron Thomas]

I installed Blender 2.40 on Windows XP.  I get the following output in 
the Blender command shell when starting up the program:
Using Python version 2.4
'import site' failed; use -v for traceback

I also get the following output:
Traceback (most recent call last):
  File "Text.001", line 1, in ?
ImportError: No module named sets

When I try to execute the following Python script:
import sets
set = sets.set()

I want to use sets in my export script ensure unique key frames.  Sets 
worked fine in Blender 2.37.  What would cause it to break in the new 
version?