How should I have played bottom set here?

[Insistent_]

This is in Swedish SEK, it is equivalent to $0.25/0.50.

2.50/5.00 Omaha (PL) - 11/23/2007 7:27:15 PM
Diana 15 (Vanlig/Cash Game)
Seat 1: Jorman (379.02)
Seat 2: masterhead (350.00)
Seat 4: HERO (661.02)
HERO Pays SB 2.50
Jorman Pays BB 5.00
** Dealing cards **
Jorman [N/A, N/A, N/A, N/A]
masterhead [N/A, N/A, N/A, N/A]
HERO [Jc, 2c, 2h, 9h]
*** Bet Round 1 ***
masterhead Raises to 17.50
HERO Calls 17.50
Jorman Calls 17.50
*** Flop(Board): *** : [6h, 2s, 5h]
*** Bet Round 2 ***
HERO Checks
Jorman Checks
masterhead Bets 40.00
HERO Calls 40.00
Jorman Fold
*** Turn(Board): *** : [6h, 2s, 5h, As]
*** Bet Round 3 ***
HERO Checks
masterhead Bets 65.00
HERO Calls 65.00
*** River(Board): *** : [6h, 2s, 5h, As, 9c]
*** Bet Round 4 ***
HERO Checks
masterhead Bets 100.00
HERO Fold