I've found this page which explains how to add a ‘Create New Document’ link to a page :
<img alt="" src="/_layouts/images/rect.gif">
<a onclick="createNewDocumentWithProgID('http:\u002f\u002fvm-moss2007\u002fMod Props\u002fForms\u002fMod Props\u002fModPropTemplate.xlsx', 'http:\u002f\u002fvm-moss2007\u002fMod Props', 'SharePoint.OpenDocuments', false);return false;" href="#">Create new Mod Prop</a>
My question is if it's also possible to add a link to a web-page which goes directly to the 'Add Document Set' functionality.