I will give a broad introduction to how to mechanize mathematics (or proof), which will be mainly about the proof assistant Coq. Mechanizing mathematics consists of (i) defining a set theory, (2) developing a tool that allows writing definitions and proofs in the set theory, and (3) developing an independent proof checker that checks whether a given proof is correct (ie, whether it is a valid combination of axioms and inference rules of the set theory). Such a system is called proof assistant and Coq is one of the most popular ones. In the first half of the talk, I will introduce applications of proof assistant, ranging from mechanized proof of 4-color theorem to verification of an operating system. Also, I will talk about a project that I lead, which is to provide, using Coq, a formally guaranteed way to completely detect all bugs from compilation results of the mainstream C compiler LLVM. In the second half, I will discuss the set theory used in Coq, called Calculus of (Inductive and Coinductive) Construction. It will give a very interesting view on set theory. For instance, in calculus of construction, the three apparently different notions coincide: (i) sets and elements, (ii) propositions and proofs, and (iii) types and programs. If time permits, I will also briefly discuss how Von Neumann Universes are handled in Coq and how Coq is used in homotopy type theory, led by Fields medalist Vladimir Voevodsky.