There is no set screw.
The engine shaft has a slotted key that keys in with the pump.
Yours is very likely just rusted to the shaft.
Spray some penetrating oil and use a screw driver to pry back and forth,
(some slight tapping too will help). It'll eventually slide off.
If re-installing, clean the engine shaft with sand paper till shiney.
A lil grease or oil on the shaft will help the pump slide on and off easily.
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