From my understanding, a vector space is a set that is closed under addition and multiplication, so let $A$ denote a set, a vector space $V = (A, +, \times)$
But whenever you read the definition of vector space, it always says something like: "Suppose $V$ is a vector space over the field of ...."
But I thought a vector space is defined in terms of sets, not fields!
Can someone help me resolve this confusion?
No, a field $F$ has addition and multiplication between members of $F$ (and has a $0$ and a $1$, etc. plus all the axioms).
A vector space is a set $V$ with addition of members of $V$ (which is an Abelian group, so has a $0$ etc.), and there is also a field $F$ (the field over which we have the vector space) and an extra multiplication called scalar multiplication (scalars are members of $F$) defined as a map $F \times V \rightarrow V$ that satisfies some axioms.
If $F$ is a field itself, we can use $F = V$ and see $F$ as a vector space over itself, using standard multiplication as scalar multiplication. So we can see $\mathbb{R}$ as a vector space over $\mathbb{R}$, but also over $\mathbb{Q}$ (much more interesting!). But in general, $V$ (the vectors) is not a field (only addition is present), but there is a scalar field $F$ (that has to be specified as well) with an extra "cross-domain" multiplication. For the plane we can multiply a point by a number, stretching each coordinate ($a(x,y) = (ax,ay)$, which defines multiplication of $a \in \mathbb{R}$ with $(x,y) \in \mathbb{R}^2$), which is a standard example. The whole of linear algebra is about vector spaces.
In more formal terms: a vector space $V$ over the field $F$ (with its own addition and multiplication $+$ and $\ast$ and its own 0,1) is a tuple $(V,F,+,\times,0)$ where $+ : V \times V \rightarrow V$, $\times: F \times V \rightarrow V$ and $(V,+,0)$ is an Abelian group, and we have the additional axioms (universal quantifiers implied): $a \times (x + y) = a\times x + a \times y$, $(a+b) \times x = a \times x + b \times x$, $1 \times x = x$, $(a \ast b) \times x = a \times (b \times x)$.