In your EndNote library, right click on 'My Groups' > 'Create Group' and label as appropriate.

You can add references to your newly created groups by highlighting single or multiple references and either dragging them to the group in the left-hand menu 'Groups' or selecting (in the top tabs) 'Groups' > 'Add references to (Group Name)'.

You can also set up Smart Groups which automatically group references by set criteria (e.g. keyword). To find out more about smart groups, watch the video 'Managing Information: Creating Groups and Smart Groups in Endnote'.