Set one in winding road (5)
I believe the answer is:
radio
'set' is the definition.
(radio is a kind of set)
'one in winding road' is the wordplay.
'one' becomes 'I' (Roman numeral).
'in' means one lot of letters goes inside another.
'winding' indicates anagramming the letters.
'road' anagrammed gives 'rado'.
'i' placed into 'rado' is 'RADIO'.
(Other definitions for radio that I've seen before include "Speech receiver" , "Transmit" , "Receiving set" , "Communicate with" , "means of communication" .)