Setting seed is pretty easy. It's the rest of the process that can be tricky! To set seed, place the pollen from one flower onto the stigma of another. In many orchids, the column of the flower (the center part that sticks out) contains both. The diagram here:
http://darwin-online.org.uk/converte...F800_fig22.jpg
shows a typical orchid column in cross-section. The technique I've often used is to stick the tip of a toothpick gently into the stigma to get it sticky, then use the sticky end of the toothpick to pry off the anther cap. Usually, the pollinia (chunks of pollen) will stick to the toothpick. Then put the pollen onto the stigma. The stickiness of the stigma will hold the pollen in place. Before you start, though, read the other postings on what you will need to do once you have seed! I would be careful not to pollinate orchids that don't have names, too. They take far too long to grow to bother with unnamed plants...