We design a Local Computation Algorithm (LCA) for the set cover problem. Given a set system where each set has size at most $s$ and each element is contained in at most $t$ sets, the algorithm reports whether a given set is in some fixed set cover whose expected size is $O(\log{s})$ times the minimum fractional set cover value. Our algorithm requires $s^{O(\log{s})} t^{O(\log{s} \cdot (\log \log{s} + \log \log{t}))}$ queries. This result improves upon the application of the reduction of [Parnas and Ron, TCS'07] on the result of [Kuhn et al., SODA'06], which leads to a query complexity of $(st)^{O(\log{s} \cdot \log{t})}$. To obtain this result, we design a parallel set cover algorithm that admits an efficient simulation in the LCA model by using a sparsification technique introduced in [Ghaffari and Uitto, SODA'19] for the maximal independent set problem. The parallel algorithm adds a random subset of the sets to the solution in a style similar to the PRAM algorithm of [Berger et al., FOCS'89]. However, our algorithm differs in the way that it never revokes its decisions, which results in a fewer number of adaptive rounds. This requires a novel approximation analysis which might be of independent interest.