In EndNote Groups are equivalent to different folders - here you can organise your references according to your different projects or topics. It allows you to easily access the reference you are looking for especially when you have a large amount of references in your EndNote Library.
It's easy to create Groups in EndNote - under the 'Groups' tab, click 'Create Group' and you can rename it. You will see it pop up on the side menu:
Have a look at these instructional videos to learn about what you can do with groups: