do that and make a new render…and do you render in a seperate window or in the 3D window ?? if the last, switch to seperare window with “DispWin” and not “DispView” in Display buttons (F10) down to the left
and of course, before you do “Set smooth” you must select the mesh object also
you should also know about the auto smooth button.
It’s on the f9 menu too, but above the set smooth button.
You can set it to smooth off faces with certain angles, so that if you want to try and smooth a cylinder, it will work properly.
If you don’t know what i mean, try making a cylinder and setting it smooth.