The reference set allows previous data to be loaded along side your current data without affecting it. The purpose of this feature to allow you to see waypoints and tracklogs from past walks to help guide you on your current walk.
There are two options for managing the reference set near the bottom of the main page menu (you may need to scroll the menu to see them). These options are named "Import to reference set" and "Clear reference set". You can import as many files as you like into the reference set, but bear in mind that having too much data loaded may slow down map rendering.
To view the reference set on the map, you need to bring up the map section of the preferences page (gear cog button) and turn on the "Show reference set" option. The reference set waypoints and tracklogs will then be drawn in blue on the map, to distinguish them from the normal waypoints and tracklogs which are drawn in red.