Did you have the set in your first game? If so, try exiting the game, restarting and start a new game. I never tried starting multiple DKS games, but checking something in the original Xbox release of D2:ED, I noticed the Gamestop pre-order bonus equipment would not show up after a couple new games were started, until the game was exited and restarted (I though there was a limit, at first).
The Annihilator, Mining Guild, and Orobas sets were originally a bonus for the PC Steam version of the game, and were later included with the North American Xbox release. I don't think they were in any other releases.
A new D2:ED character should start with these sets in their inventory, but they are not included with a new FoV character (at level 15, they are outclassed by other equipment you can find or buy).
