What does "on the set" mean in the sentence below?
And I appreciate it if you explain what kind of joke is that.
The original passage is
http://finance.yahoo.com/news/why-shorts-cant-stop-tesla-164307017.html"I'm going to do some research, but I've got a lot of stuff sitting above a battery. That's just a few inches [below me]. That's the biggest honking battery in the world. I'm worried about it."
Delivered deadpan, it's unclear whether O'Leary's comments were in jest, but it definitely got a lot of laughs on the set.
Thank you for your help.