Most work on preference learning has focused on pairwise preferences or rankings over individual items. In this paper, we present a method for learning preferences over sets of items. Our learning method takes as input a collection of positive examples--that is, one or more sets that have been identified by a user as desirable. Kernel density estimation is used to estimate the value function for individual items, and the desired set diversity is estimated from the average set diversity observed in the collection. Since this is a new learning problem, we introduce a new evaluation methodology and evaluate the learning method on two data collections: synthetic blocks-world data and a new real-world music data collection that we have gathered.