"Dark Night of the White Queen"
The story begins with a flashback to the days of King Kull, ten thousand years prior, when Kull sought to extinguish the lineage of Set. When the last two twin babies born of that line were captured, Kull gave the job of putting them to death to his Councilor Tu. Tu, in his mercy, could not complete the task, and so the cult of Set's power continued until Conan's day.
Conan is a mercenary general in the service of one of the Border Kingdoms. It's king has passed, and the line of succession is lacking in popular support. Conan must fight a rebel faction and must contend with love, ambition, and the magics of Set.
Originally, this story was slated to be the conclusion of Conan Annual #7, but the editors chose to end the practice of continuing story lines in annuals.