To compile:

ocamlc -c fSet.mli
ocamlc -c fSet.ml
ocamlc -c main.ml
ocamlc -o main fSet.cmo main.cmo

OR

ocamlc fSet.mli fSet.ml main.ml -o main
 -- makes the .cmi and .cmo files plus the binary


Also there is a faster native code compiler (ocamlc generates
bytecodes):

ocamlopt fSet.mli fSet.ml main.ml -o main

-- makes .cmx and .o files in place of .cmo files