To create a new group in the Contact List Manager; click on the blue Insert Record button shown here:

A Contact List window will appear allowing you to enter a Group Name or you can choose from the drop-down list, then below that enter the name of the field (List) that you wish to create.

Below are the images of this process. Also See Drag & Drop Contacts into Contact List Manager.

Note: This is also how you would assign a "Contact List Manger List" to a specific Action Plan - See Action Plans Tab for detailed information.

Here is the new Group and Field created.