Before you have your first group created.
From your Account Dashboard click on the "Settings" link, then the "Group" tab. Click the "Create Group" button. Follow the instructions on the following screen.
After you have your first group created.
From your Account Dashboard click on the Add New Group link.
Enter a group name. You may also enter notes about the group if you like. Click Save.
Your new Group will be created and added to the list of Groups under your account.
To access your list of Groups, simply go to: Settings > Groups
For more information about Groups, see "How to use Campaign Groups?".