The following documentation demonstrates how to create a contact group in Outlook 2010 for Windows.
From the Add Members drop-down menu select:
Select the contact from your contact list and then click Members ->.
Select the contact from the Address book and then click Members ->.
Enter information for this contact and then click OK.
*Note: You can choose to add this contact to your contacts by checking the box next to Add to Contacts.
When finished adding contacts to the group click Save & Close.