This Screen shot may help you find what you are looking for:
In the image, you can see the event I created. Notice the Set Angle is located in the actions part of the event, not the conditions part. This is important because each object has different options when used in the actions section from the conditions section. Also, when creating the action, I selected the Sprite object because it is the object that has the Set Angle action.
If that doesn't answer your question, It might help us to know a little about your set up. What version of Construct are you using? What tutorial are you working on and is it written for the version you are using (if not, the location of the action you are looking fr may have changed)? What type of object are you trying to find the Set Angle action on (it should be a sprite)?