Detecting duplicates with set

I am working with data that shouldn't pop up twice. If it does, it should detect it and invoke a function handling that.

Currently, I am pushing some data to a vector and before insertion, it should check if the data is already contained in that vector. At the moment, this is not very effective, e.g

for (int i = 0; i < myVector.size() ; i++) 
{
  if ( myVector[i] == data ) 
  {
             // invoke function
             return false;
  }
}

I know set is a special kind of vector which allows only unique data.

Is there another way to detect duplicate data being added (or at least attempting to add it) to the set?