You can write a single element tuple as @larsmans explained, but it is easy to forget the trailing comma. It may be less error prone if you just use lists as the parameters to the set constructor and methods:
Dictionary[key_1] = set(['name'])
Dictionary[key_2] = set(['name_2', 'name_3'])
Dictionary[key_2].add(['name_3'])
should all work the way you expect.