Your confusion is reasonable: ‘let’ and ‘define’ both create new bindings. One advantage to ‘let’ is that its meaning is extraordinarily well-defined; there’s absolutely no disagreement between various Scheme systems (incl. Racket) about what plain-old ‘let’ means.
The ‘define’ form is a different kettle of fish. Unlike ‘let’, it doesn’t surround the body (region where the binding is valid) with parentheses. Also, it can mean different things at the top level and internally. Different Scheme systems have dramatically different meanings for ‘define’. In fact, Racket has recently changed the meaning of ‘define’ by adding new contexts in which it can occur.
On the other hand, people like ‘define’; it has less indentation, and it usually has a “do-what-I-mean” level of scoping allowing natural definitions of recursive and mutually recursive procedures. In fact, I got bitten by this just the other day :).
Finally, ‘set!’; like ‘let’, ‘set!’ is pretty straightforward: it mutates an existing binding.
FWIW, one way to understand these scopes in DrRacket (if you’re using it) is to use the “Check Syntax” button, and then hover over various identifiers to see where they’re bound.