To define the policies that should apply to a policyset, double click the policyset (or right click and select 'Properties' from the menu) and select the 'Policies' tab.
Press <Add> to add a policy from the list. The list of what policies are available in what category can be found in the section called “List of Policies”.
With the policy added, double click to change the value.
Alternatively you can select the policies you want to change and right-click to enable/disable them.