Chipsets come built into the motherboard.
The chipset serves as a gateway for some of the I/O from the processor itself. It's part of the circuitry that connects between the processor and devices like the PCI Express lanes.
Each processor is meant to work with one specific chipset, or a small family of chipsets. So you choose the processor and motherboard together, with a motherboard having a chipset compatible with the processor.
They're called "chipsets" because they used to be two chips, a northbridge and a southbridge. Nowadays the northbridge logic is mainly on the processor page.
Wikipedia has an awfully sparse page on this.