What do you mean by "groups?" Do you mean a mail list containing multiple email addresses?
There are no mailing lists in Hotmail, but you can manage groups of people by assigning them to categories.
http://email.about.com/od/windowslivehotmailtips/qt/How_to_Create_a_Mailing_List_with_Windows_Live_Hotmail.htm
I can't verify that the actions or steps in MSN Explorer are the same or different as I don't have it running on this PC and haven't used it in a while.
Since MSN email is Hotmail, though, I suspect that performing the actions above at http://www.hotmail.com will yield the desired results in MSN email, too.
-steve