Groups are similar to folders in how they "contain" files except they do not actually add new folders which alter the directory structure. For example in the desktop folder there could be 10 files when viewed in the Finder but only show 2 groups when viewed in Desktops.

To navigate a group double-click on the icon and the files within will be shown in a ring over the desktop which you can then click to open documents.

Create a new group by selecting some files (except for other groups) and contextual clicking on any of the files then choosing the New Group with... item from the menu. Optionally you can use the Selection > New Group with Selection item in the File menu if you prefer.

After a group has been created you add other files simply by dragging files onto the groups icon.

To remove a file from the group first open the group by double-clicking then dragging the file out onto the desktop.