You cannot.
To change it dynamically, as with the SET
you tried, you need the SUPER
privilege, there is no way around it. And this is a good thing, because 1. the setting is global, which means it affects all connections, and 2. it might jeopardize the server (it makes it easier to DoS a server, for example).
To set it permanently, you need access to the MySQL configuration file and be able to restart the service, as Zak advises.
The real question is, however, why do you need such a high limit. Unless you are trying to import a large dump, having a need for such a limit almost always suggests something was wrongly designed in the first place. If you are importing a dump, try to import smaller bits at a time.