Create groups during the process of adding references (see Adding References from Library Databases and Adding References Manually). They can also be added later with the following steps:
Click the Organize tab
On the Manage My Groups page, click the New Group button at the bottom of the list to create a new group
Give the group a name and click OK
Click the My References tab
Select the references you want to add to your group
OR
Click the My References tab
Select the references you wish to group together
Use the add to group... drop-down to select the New group option to create a new group