To add a new group, simply click on the New button. You can now specify a name and description for the group.
Once you have done that you need to add some visitors to the group, to do this click on the Select visitors button.
You can search fo visitors and then add or remove them from the group using the Add/Remove buttons.
Once you are done you can click on Accept or Cancel and you will go back to the previous window.
The last step is to click on Save to save the new group, you can also edit groups using the same method above to add/remove visitors.