Setting up Performance Monitor Data Collector Sets can be a time consuming exercise, especially when you have to do it on multiple servers.
Using sources from multiple places, here is some code I use to create a Data Collector Set, and inside that a number of Data Collectors for Microsoft SQL Server instances running on the server.

Please let me know if I’ve made any typos, and kindly test before using on a Production machine.
It’s modified heavily from my original as I’ve tried to add comments to help explain what I’m trying to achieve.

Firstly, set up 2 files containing the counters you wish to capture. These are just examples. You can use any available counter.
SQLAudit-Server.XML

<PerformanceCounterDataCollector>
    <Counter>\Processor(*)\% Processor Time</Counter>
</PerformanceCounterDataCollector>

SQLAudit-Instance.XML

<PerformanceCounterDataCollector>
    <Counter>\%instance%:SQL Statistics\Batch Requests/sec</Counter>
    <Counter>\%instance%:Buffer Manager\Page life expectancy</Counter>
</PerformanceCounterDataCollector>

The value %instance% is replaced by the PowerShell script when it runs.
This Data Collector Set, is scheduled to stop / start at 5am, and in my next blog, I’ll show you how to keep it running. (if you don’t do this you’ll find the collector won’t be running on alternate days)

So….here is the script.

Param(
#default to the current server. Can be a remote server.
[string]$Server = $env:ComputerName,
#if this switch is used, the Data Collectors will be cleared, and new ones created based on the SQLAudit-Server / SQLAudit-Instance XML files.
[switch]$updateDC
)

## Script starts here ##
$DCSName = "SQLAudit"; #Set this to what you want the Data Collector Set to be called.
Write-Host "Running Perfmon-Collector to create / update Perfmon Data Collector Set $DCSName on $Server" -ForegroundColor Green
#Directory for the output Perfmon files.
$SubDir = "C:\PerfMon\PerfmonLogs"
# Location of the Scripts/Files. SQLAudit-Server.XML, SQLAudit-Instance.XML
$ScriptDir = "C:\Scripts" 

# Create directories if they do not exist.
Invoke-Command -ComputerName $Server -ArgumentList $SubDir,$ScriptDir -ScriptBlock {
    param($SubDir,$ScriptDir)
    If (!(Test-Path -PathType Container $SubDir))
    {
        New-Item -ItemType Directory -Path $SubDir | Out-Null
    }
    If (!(Test-Path -PathType Container $ScriptDir))
    {
        New-Item -ItemType Directory -Path $ScriptDir | Out-Null
    }
}

# DataCollectorSet Check and Creation
$DCS = New-Object -COM Pla.DataCollectorSet

try # Check to see if the Data Collector Set exists
{
    $DCS.Query($DCSName,$Server)
}
# Need to catch both exceptions. Different O/S have different exceptions.
catch [System.Management.Automation.MethodInvocationException],[System.Runtime.InteropServices.COMException]
{
    Write-Host "Creating the $DCSName Data Collector Set" -ForegroundColor Green
    $DCS.DisplayName = $DCSName;
    $DCS.Segment = $true;
    $DCS.SegmentMaxDuration = 86400; # 1 day duration
    $DCS.SubdirectoryFormat = 1; # empty pattern, but use the $SubDir
    $DCS.RootPath = $SubDir;

    try #Commit changes
    {
        CommitChanges $DCS $DCSName

        Invoke-Command -ComputerName $Server -ArgumentList $DCSName -ScriptBlock {
            param($DCSName)
            $Trigger = @()
            #Start when server starts.
            $Trigger += New-ScheduledTaskTrigger -AtStartup
            #Restart Daily at 5AM. Note: I have not used Segments.
            $Trigger += New-ScheduledTaskTrigger -Weekly -DaysOfWeek Monday,Tuesday,Wednesday,Thursday,Friday,Saturday,Sunday -at 05:00
            $Path = (Get-ScheduledTask -TaskName $DCSName).TaskPath
            #This setting in the Windows Scheduler forces the existing Data Collector Set to stop, and a new one to start
            $StopExisting = New-ScheduledTaskSettingsSet
            $StopExisting.CimInstanceProperties['MultipleInstances'].Value=3
            Set-ScheduledTask -TaskName $DCSName -TaskPath $Path -Trigger $Trigger -Settings $StopExisting | Out-Null
        }
        $DCS.Query($DCSName,$Server) #refresh with updates.
    }
    catch
    {
        Write-Host "Exception caught: " $_.Exception -ForegroundColor Red
        return
    }
}

#If updateDC parameter is supplied, Stop the existing data collectors and clear the data collectors from the data collector set.

If ($updateDC) {
    If ($DCS.Status -ne 0) {
        try {
                $DCS.Stop($true)
            }
        Catch {
                 Write-Host '-updateDC parameter was supplied but collectors did not stop successfully. Script exiting.' -ForegroundColor Red
                 Exit 1
            }
    }
    $DCS.DataCollectors.Clear()
    CommitChanges $DCS $DCSName
}

#DataCollector - SQLAudit-Server
$DCName = "$DCSName-Server";

# If the Data Collector does not exist, create it!
If (!(CheckCollector $DCS $DCName))
{
    Write-Host "Creating the $DCName Data Collector in the $DCSName Data Collector Set" -ForeGroundColor Green
    CreateCollectorServer $DCS $DCName
    CommitChanges $DCS $DCSName
}

#Data Collector - SQLAudit-Instances. Loop through installed instances and create collector for each if they do not exist.
$Instances = Get-SQLInstances -Server $Server

foreach ($Instance in $Instances) {
    If ($Instance -eq "MSSQLSERVER") {
        $ReplaceString = "SQLServer";
        }
        ELSE {
        $ReplaceString = "MSSQL`$$Instance";
        }
    $DCName = "$DCSName-$Instance";

    If (!(CheckCollector $DCS $DCName))
    {
        Write-Host "Creating the $DCName Data Collector in the $DCSName Data Collector Set" -ForeGroundColor Green
        CreateCollectorInstance $DCS $DCName $ReplaceString
        CommitChanges $DCS $DCSName
    }
}

# Start the data collector set.
try {

    If ($DCS.Status -eq 0) {
    $DCS.Start($true)
    Write-Host "Successfully created $DCSName and started the collectors." -ForeGroundColor Green
    }
}
catch {
    Write-Host "Exception caught: " $_.Exception -ForegroundColor Red
    return
}

Here are the functions used. These would normally be placed above ## Script starts here ##

#Functions start here.
Function CheckCollector([System.Object]$DCS,[string]$DCName)
{
    # Check if the data collector exists in the DataCollectorSet
    If (($DCS.DataCollectors | Select Name) -match $DCName)
        { Return $true }
    ELSE
        { Return $false }
}

Function CreateCollectorServer([System.Object]$DCS,[string]$DCName)
{
     $XML = Get-Content $ScriptDir\SQLAudit-Server.xml
     $DC = $DCS.DataCollectors.CreateDataCollector(0)
     $DC.Name = $DCName
     $DC.FileName = $DCName + "_";
     $DC.FileNameFormat = 0x0003;
     $DC.FileNameFormatPattern = "yyyyMMddHHmm";
     $DC.SampleInterval = 15;
     $DC.LogFileFormat = 0x0003;
     $DC.SetXML($XML);
     $DCS.DataCollectors.Add($DC)
}

Function CreateCollectorInstance([System.Object]$DCS,[string]$DCName,[string]$ReplaceString)
{
     $XML = (Get-Content $ScriptDir\SQLAudit-Instance.xml) -replace "%instance%", $ReplaceString
     $DC = $DCS.DataCollectors.CreateDataCollector(0)
     $DC.Name = $DCName
     $DC.FileName = $DCName + "_";
     $DC.FileNameFormat = 0x0003;
     $DC.FileNameFormatPattern = "yyyyMMddHHmm";
     $DC.SampleInterval = 15;
     $DC.LogFileFormat = 0x0003;
     $DC.SetXML($XML);
     $DCS.DataCollectors.Add($DC)
}
Function CommitChanges([System.Object]$DCS,[string]$DCSName)
{
    $DCS.SetCredentials($null,$null) # clear credentials 0x80300103 fix
    $DCS.Commit($DCSName,$Server,0x0003) | Out-Null
    $DCS.Query($DCSName,$Server) #refresh with updates.
}

Function Get-SqlInstances {
  Param($Server = $env:ComputerName)

  $Instances = @()
  [array]$captions = gwmi win32_service -computerName $Server | ?{$_.Caption -match "SQL Server*" -and $_.PathName -match "sqlservr.exe"} | %{$_.Caption}
  foreach ($caption in $captions) {
    if ($caption -eq "MSSQLSERVER") {
      $Instances += "MSSQLSERVER"
    } else {
      $Instances += $caption | %{$_.split(" ")[-1]} | %{$_.trimStart("(")} | %{$_.trimEnd(")")}
    }
  }
  $Instances
}