To create a new group, go to Messenger (1), then press the “Create Group” button (2), as displayed in the following picture
The “Create a new group” dialog will pop up. Make the required changes and finally press “Create group”
That’s all! Once the group is created, a new chat will appear in your chats’ list inside Messenger (1)
As a side note, groups that are inactive for a long time will be automatically removed. This prevents clogging your chat list with uselessly inactive groups.