The set contains 4 pieces

They can all be found in Kogog'Aak. In order to get all the pieces you first need to collect the 4 sun stone parts. Don't bother entering without them.

1. The Helm drops from the Ice Golem in the Big Ice theme room. Simply kill him and he drops the helmet.
2. The Boots drop in a chest during the teleportation puzzle.
3. The Gloves drop in the boss room right at the entrance.
4. The Chest drops off the boss herself, simply kill her will give you the last item for your set.

After you equip all 4 pieces you'll get the achievement! Enjoy !