In recent years, language-guided open-set aerial object detection has gained significant attention due to its better alignment with real-world application needs. However, due to limited datasets, most existing language-guided methods primarily focus on vocabulary-level descriptions, which fail to meet the demands of fine-grained open-world detection. To address this limitation, we propose constructing a large-scale language-guided open-set aerial detection dataset, encompassing three levels of language guidance: from words to phrases, and ultimately to sentences. Centered around an open-source large vision-language model and integrating image-operation-based preprocessing with BERT-based postprocessing, we present the OS-W2S Label Engine, an automatic annotation pipeline capable of handling diverse scene annotations for aerial images. Using this label engine, we expand existing aerial detection datasets with rich textual annotations and construct a novel benchmark dataset, called MI-OAD, addressing the limitations of current remote sensing grounding data and enabling effective language-guided open-set aerial detection. Specifically, MI-OAD contains 163,023 images and 2 million image-caption pairs, approximately 40 times larger than comparable datasets. To demonstrate the effectiveness and quality of MI-OAD, we evaluate three representative tasks. On language-guided open-set aerial detection, training on MI-OAD lifts Grounding DINO by +31.1 AP$_{50}$ and +34.7 Recall@10 with sentence-level inputs under zero-shot transfer. Moreover, using MI-OAD for pre-training yields state-of-the-art performance on multiple existing open-vocabulary aerial detection and remote sensing visual grounding benchmarks, validating both the effectiveness of the dataset and the high quality of its OS-W2S annotations. More details are available at https://github.com/GT-Wei/MI-OAD.