Mihai,
refer to section 2.10.1 "Defining an assembly" of Abaqus Analysis User's Manual.
Basically you define a new set the following way:
*Nset, Nset=Assembly.nload, Instance=PART-1-1
1708, 2857
or
*Nset, Nset=Assembly.nload
PART-1-1.1708, PART-1-1.2857
assuming that the model in the input file is defined as an assembly.
I think the trick here is to prepend the name of the assembly to the name of the new set; in this case the name of the assembly is "Assembly" and the name of the new set is "nload".