What happened to contact groups?
What you’re looking for is called Categories. Categories are not the same as groups; you have one list of contacts, but each of those contacts can belong to as many categories as you like, and you can have as many categories as you like. Think of them as labels.
In the Contacts window (press Ctrl-3 or click the address book icon at the foot of the folder pane), click Category in the New section of the ribbon. Give it a name and select its members. If you give it a name starting with a number, it will appear at the top of ‘contact picker’ lists. If you don’t, it will appear in alphabetical order in those lists (so a category called Friends will appear in the list between contacts called Fred Bloggs and Frisbee Industries Inc).
To send a message to all members of a category, just start typing its name in the To…box of a new message window. If its name starts with a number, it will probably appear straight away ready for selection.
If you want to exclude one or more members from the distribution, click the ‘+’ sign to reveal all the addresses, then click on the one you want to remove and press DEL on your keyboard.
If you want to send to only a few members of a category, start in the Contacts window and select the category in the left-hand pane. Use Ctrl-Click to select the ones you want to send a message to, then click the Email button on the ribbon.