First you will want to configure your Mailing List Form, i.e. the Subscribe Form, where your web visitors can subscribe. Go to the Configure Site > Basic Setup tab, Mailing List Form Section.
Fill in optional extra fields for the user to enter in order to subscribe, besides the email field. You can choose whether they are Required Fields, and also customize the size of the input field. You can populate user inputted fields in the mailing list form into your mailers automatically, when sending out mass emails (refer to "Customizing a Mass Email to each individual subscriber automatically & easily!" for more info).
Here you should also input in a label for the Mail Groups menu if you want to allow subscribers to choose a mail group.
To create Mail Groups, go to the Mailing List > Add Mail Group tab. Fill out the form and then click the "Add Mail Group" button. On the List Mail Groups page you can get the list of curent Mail Groups, and click on the edit icon on each Mail Group row to edit it.
Inserting the Mailing List Subscription Form into your page(s): You can insert your mailing list form into any page you create at anytime - any updates you make to it will automatically be updated for each instance. Insert your Mailing List Subscription Form from the bottom of any Add / Edit Page in your Admin Panel - set the "Include Mailing List Form On Page" option to Yes, then click on the Placehold Text box to copy the Placeholder Text to your clipboard; finally, click on the editor box for your page where you want it, and paste it. Your mailing list form will display there.