Its true that if you aren't careful you can
destroy a rod removing a set, but in general it is quite easy and pretty safe.
Using a fairly low heat source such as a steam kettle, toaster or hair dryer, heat up the part of the rod where the set begins. As it is usually the tip section, this doesn't take long and the general rule of thumb is if it is too hot to hold, its too hot. Once you get the cane just past warm (maybe 10-15 seconds), gently bend the section about 2 to 3 times farther than the original bend in the opposite direction, placing the focus of the stress at the point where the original bend began. You don't want to force it or apply too much or too direct pressure, and your goal isn't to actually bend the rod, just hold a slightly more aggressive bend directly opposite the original. Hold it that way for 15 seconds or so and check the straightness.
If the first time doesn't do the trick, try a little more heat before applying more pressure, but again, not too hot to touch.
I've removed thousands of bends and sets in bamboo and have yet to cause any permanent damage to one, and I use either direct flame of an alcohol lamp or a heat gun. I even took out a particularly nasty set on a rod over a campfire after landing a large salmon!
Just take it easy and you'll be fine. It is a handy thing to know how to remove a set.
To help minimize sets, the wiggling after fishing trick that wtex50 mentions is a good one, as is doing the same thing immediately after landing any good sized fish. More often than not this will immediately realign the fibers and you'll be good to go.
Lastly, P&M rods are, in general, not that collectible. There have been a lot of them made, which in any industry limits resale value. It sounds to me like with a little TLC you've got a great bamboo rod for fishing, so I'd do just that with it.