The small cell network (SCN) is one of the emerging technologies for the next generation wireless systems. It can provide lots of advantages, such as enlargement of cell coverage, boost of peak data rate, improvement of link quality, flexibility of deployment, etc. In SCN, a specific scenario, where the density of small cell base stations (SBS) is much higher than that of user equipments (UE), becomes popular topic recently. Because of the high density of SBSs, it can offer diversity of SBS selection and, hence, improve the system performance. Besides, under this condition, each UE can be served by multiple SBSs, which also motivates the possibility of using coordinated communication schemes such as coordinated multi-point (CoMP) transmissions. Therefore, in this paper, we investigate the SCN with highly dense deployment of SBSs, and suggest a CoMP transmission structure to improve the transmission performance. In addition, for well performing CoMP transmissions, we also propose CoMP set formation method, which selects SBSs to form CoMP set according to the designed metric. We conduct simulations to validate the performance of the SCN with proposed CoMP method. The simulation results show that the proposed CoMP method can indeed improve the dense SCN corresponding to the designed metric. Specifically, the proposed CoMP method can significantly improve sum rate and prompt most of the transmissions to reach the quality of service requirement of the UEs. This method is flexible and easy to be adopted in many kinds of systems, including single-operator or inter-operator ones.