Mark, the replacement pulley doesnt have a set screw, it does say something about removing a key before removing the pulley. I have studied this thing over and over and with help of friends, the key is built into the pulley, that is how it is on the replacement pulley also.
Think about what you said in your reply: " it does say something about removing a key before removing the pulley" and then " the key is built into the pulley".
You will have to remove key from new pulley with ball peen hammer and punch , about same width as key, before installing new pulley. The key is a machined fit into your crankshaft and pulley. After driving key through old pulley all the way, your old pulley should come off easily. Depending on the shape of your key, half moon shaped or bar stock, small rectangular, in other words installation is reversal of removal. Safety glasses are most important to wear as are gloves! For safety reasons, always disconnect negative terminal from battery first before performing major tasks! Scotching wheels is very important also!
Hope this helps.