Say we throw two dice. Firstly, we get 2 which is our set $A$. Secondly, we get 3 which is our set $B$. What does it mean for that these two sets are dependent?
$A = \{2\}$, $B = \{3\}$, sample space = $\{1, 2, 3, 4, 5, 6\}$
Because $P(A \cap B)\neq P(B)P(A)$ Therefore $A$ & $B$ are dependent.