_mm_set_epi8 is just a convenient macro that initializes the 128-bit SSE __m128i vector for the specified set of values (in this case, 16 x 8 bits), for example
__m128i v = _mm_set_epi8(15, 14, 13, 12, 11, 10, 9, 8, 7, 6, 5, 4, 3, 2, 1, 0);
sets v to 128 bit: 0x000102030405060708090a0b0c0d0e0f .
There are other similar macros for different types of vector elements, for example. _mm_set_epi16 , _mm_set_epi32 , _mm_set_ps , etc.
(Note: the documentation you are related to in your question is not very good, but r0..r15 apparently just refers to the individual 8-bit fields in the returned vector).