From thefreedicitionary.com [quote]
set something up
1. arrange, organize, prepare, make provision for, prearrange
an organization that sets up meetings
2. establish, begin, found, institute, install, initiate, get going,
lay the foundations of He set up the company four years ago.
3. build, raise, construct, put up, assemble, put together, erect, elevate
The activists set up a peace camp at the border.
4. assemble, put up, put together, fix up, rig up
I set up the computer so that they could work from home.[/quote]
The link in post #4 has the following text
"Team Melli landed in Dubai this evening
to set up an eight days training
camp."
In this idiom, they are not literally using tents to camp in, but rather a temporary base of operations/facilities where they can train - temporarily, because they are away from their home facilities.