Please copy and paste the instructions.  

ARTIFACT CHALLENGE 1.10

"Support type Champions help other Champions during battle. Your Support Champions don't need to do much damage, but need to stay alive and help your team. Along with being fast to help them use their Skills often, they need to have enough HP.

Make sure that your Support Champion can keep contributing to the fight by equipping one with 3 HP Artifact Sets to get a 45% HP increase."

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in order to complete this challenge, you'll first need to select a support type champion (circled above in pink). then, you'll need to equip them with six pieces of equipment from the hp set (icon circled above in blue).

I'm having trouble with this too because it seems like weapons and one other thing, I think maybe shields? don't have HP as one of their main stats.

In this quest (!) the main stats don't matter. The items have to be from the life set, whatever main stats they have. Look at the picture Carpe_Piscis posted.

Yeah, they mean Life artifact set, that you need to farm from Ice Golem. Basically, you need all 6 pieces that are from Life set, doesn't matter what stats they have, just that they are Life set: weapon, helmet, shield, gloves, chest and boots. 

If I'm not mistaken, one of the campaign stages also drop life sets. The first one I think?