This depends on what you mean by setting spray. THere are typically 3 phases of "sprays" that make-up artists can use to achieve flawless, lasting make-up.
First is refresher spray that you spray on the skin before you start your make-up (like MAC charged water or Evian spray or something like that)
That after you moisturize and prime the skin you apply your base (foundation, concealer) then use a setting spray like MAC's Fix + lightly all over the face. Then, if I used liquid foundation, I'll set my face with a light dusting of setting powder then proceed with blush, eye makeup etc.
Then to "fix" the make-up on my face I'll use MUFE's mist and fix or Kryolan's fixing spray. If you're looking for a spray that will ensure that your make-up won't budge then a fixing spray is what you're really looking for.
Hope this helps!!
Urban Decay makes a good one; it's called All Nighter. It's great at setting makeup without being sticky or drying, leaving a radiant finish: http://www.sephora.com/browse/product.jhtml?id=P26
Hope this helps!