To create a new Group, navigate to Groups and then use the "+" button and click on Group.
Depending on how the Mighty Network Host has set up Groups, this + button will only be visible if you have permission to create a new Group. By default, only Mighty Network Hosts can create Groups. If you as the Host want your members to create Groups too, you can change that setting by going to Network Settings > Premium Features > Groups and using the dropdown menu.
When you create a new Group, you can give the Group a name, select the privacy level of that Group, and give the Group a custom logo and theme color.
To learn more about how to manage the different features in your new Group, click here.