Ken, I hope you enjoyed your concert.
However, the set in which new pushpins will be lodged is not necessarily the first set created. Somehow, Streets and Trips 2010 appoints one set as the default to where all new pushpins will be assigned. But it does not have to be the first or last as far as I can tell. And there is no way of telling, just by looking at the list of pushpin sets, which is the default set; the only way I have figured out how to identify the default set is to look at the Matching list to see where the new pushpins have been added. So, putting that little mystery aside let's address how you can create a new set.
One way is to copy (or cut) a pushpin from an existing set (right-click the pushpin set to get Properties, then Matching) and then paste that clipboard content into the open file by clicking on Edit in upper left corner, then Paste. This will create a new set with a new name which can be changed if you don't like it. If you want to do this on multiple pushpins from the same set, control-click those you want from the Matching list in the set's properties before copying.
So Microsoft guys, this is an area that needs a little work. The newly-enhanced powers of pushpins should be expanded to make managing the pushpins more user-friendly. Make it easier to create pushpin sets, assign default sets, move pushpins around from set to set, etc. Also, it would be a good idea to have a field in the pushpin balloon that says exactly which set it is in.
All of the above is based on not using import and export GPX data sets. There might be an easier way if you go that route.