You must destroy 1 Spell or Trap Card on your opponent’s side of the field to be able to Set 1 Spell or Trap Card. If your opponent chains a card to destroy the target of "Dust Tornado", you cannot then Set a Spell or Trap Card because "Dust Tornado" did not destroy a Spell or Trap Card. If your opponent activates the card targeted by "Dust Tornado" it is not negated, but is still destroyed by "Dust Tornado" so you may Set 1 Spell or Trap Card.