Groups are used to organize audience members. Once added to a group, audience members of the same Group can be sent messages specifically for that Group. Or combinations of Groups.
To add an audience member to a Group, use the Logic Action "Add/Remove Group" or "Copy/Move Group". Or use Audience Details and manually type the group in the Groups field.
Note that group membership is independent of Characters. That is, an audience member subscribing to Character A and added to group Europeans will be in the Europeans group for all Character interactions including Character B, Character C etc.