Creating a new Windows Group or adding a user to an existing group has to be done via Computer Management. Right click on My Computer e.g.
Select Manage.
Expand the Local Users and Groups node
To create a new Group, right click on the Groups entry and select New Group
Enter a Group Name and a Description and then use the Add button to add users to the group.
To add users to an existing Group, double click on the Group in the right hand panel and then use the Add and Remove buttons to define the list of users in the group.