People typically wear their wedding ring on the same hand and finger as their engagement ring. In Western cultures, this is traditionally the ring finger on the left hand for both men and women.
A wedding ring set includes an engagement ring plus matching his-and-her bands for the groom and bride. Jewelers typically distinguish between a wedding set and a bridal set, which does not include the groom's ring. Outside of the jewelry world, most people use the term wedding set for both combinations.