Sail to set up or put up (5)
I believe the answer is:
royal
'sail' is the definition.
(type of sail)
'set up or put up' is the wordplay.
'set up' says the letters should be written backwards (in a down clue, letters go up).
'put' becomes 'lay' (as in laying or putting something down).
'up' is a reversal indicator (in down clue: letters go upwards).
'or' backwards is 'ro'.
'lay' backwards is 'yal'.
'ro'+'yal'='ROYAL'
'to' is the link.
(Other definitions for royal that I've seen before include "Queen, say?" , "Sail" , "Wills, perhaps" , "This blue is deep and vivid" , "one in palace?" .)