A set shot occurs when a player has been awarded a free kick, or has taken a mark within kicking range of the goal (typically inside the fifty-metre line in front of the goal).
The game clock continues to run during the preparation for a set shot, although time on may temporarily be blown to return the football to the kicker.
This rule was introduced in 2006; prior to 2006, players had no formal limit on how long they could take (the umpire could at his discretion penalise the player for time-wasting, but this was rare), and the new rule was commonly known as the "Lloyd rule" after Essendon full-forward Matthew Lloyd, whose set shot ritual was one of the longest in the AFL.
[1] From 2016 in the Australian Football League, thirty seconds has been counted down on a shot clock that is visible on some ground scoreboards (although always known to the umpires).
[2] A player may take as long as they want (within reason) to take a shot after the siren, as the point of a shot clock is to speed up the flow of the game as well as prevent time-wasting.