Can I react to that card that says if you play me give me 4 might this turn

Yes — if the card's rise in Might comes from a "when you play me" trigger, that trigger is put on the chain and creates a Closed State, so any player may respond with a [Reaction] card (FAQ #5735, Rule 309.1.a). What you can't react to is the act of the unit itself being played — permanents resolve immediately without passing priority.

The trigger still resolves even if the unit is removed in response, but since this one says "give me +4 might," it references the unit itself and will fizzle out doing nothing if that unit already left play (FAQ #3430). Note also that targets/choices are locked when the trigger finalizes on the chain, before you get your reaction window (Rule 352.4.b).

If you meant Sett, Brawler's "Spend my buff: Give me +4 might this turn," that's an activated ability — it likewise goes on the chain, so it can be responded to as well.