It's from Friends(Season 02, Episode 04): Transcript Here
The episode reveals that Phoebe had married a gay man long before, because he just needed a green card. But one day he came to see Phoebe and invited her to go skating. So Phoebe dressed herself up, which was not necessary because her "husband" is gay. So when Monica saw her wearing such beautiful clothes, she said:
I can't believe you're dressing up for him. I mean, you're just . . . you're setting yourself up all over again.
What's the meaning of set up here?