This is a baseball term which refers to the pitcher who comes in relief to the previous pitcher in the last innings, either 6th, 7th, or 8th, and comes out of the game to make way for the closing pitcher. In this way, they "set up" the closing pitcher to finish the game. The role is very loosely defined and not recognized as an official position. Teams use a setup pitcher when the game is tied, close, or even sometimes when they have the lead, and the starting pitcher cannot finish, but it is not late enough in the game to call in the closer. These pitchers usually do not qualify for saves, nor record many, but do have the potential to record wins.
A setup pitcher is a role that has become more and more used in the modern game. While pitchers who could not start were always thought of as relief pitchers, it has not been until more recent times that pitchers would come in for only 2-3 innings at a time before being pulled from the game themselves. These types of pitchers generally throw harder than starting pitchers since their main task is to get the game in the hands of the closing pitcher as quickly as possible. These pitchers are usually incapable of performing well as starting pitchers, and do not have the experience or skill necessary to be a closing pitcher.