Might this be going to this setter's head? Nonsense! (2,3)
I believe the answer is:
my hat
'head? nonsense' is the definition.
'my hat' can be an answer for 'nonsense' (I've seen this before). I am unsure of the 'head?' bit.
'might this be going to this setter's' is the wordplay.
'might this be' becomes 'hat' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'going to' means one lot of letters go next to another.
'this setter's' becomes 'my' (I've seen this in other clues).
'hat' after 'my' is 'MY HAT'.
Can you help me to learn more?
(Other definitions for my hat that I've seen before include "I refuse to believe" , "stuff!" , "Old-fashioned exclamation" , "Exclamation of surprise" , "nonsense" .)